Enhancing the Teaching of Statistics: Portfolio Theory, An Application of Statistics in Finance

Figures & data

Figure 1: IBM closing price, January 2000 - December 2005.

Figure 2: Returns of IBM, January 2000 - December 2005.

Table 1: Descriptive statistics of the returns of IBM, Exxon-Mobil, Boeing.

	Mean	Min	Q1	Median	Q3	Max
IBM	0.000307	−0.226453	−0.051552	−0.008992	0.046255	0.353799
EXXON-MOBIL	−0.001167	−0.521923	−0.017227	0.000701	0.033749	0.226938
BOEING	0.010791	−0.345703	−0.043080	0.018433	0.073570	0.174825

Figure 3: Closing prices of IBM, Exxon-Mobil, Boeing, January 2000 - December 2005.

Figure 4: Returns of IBM, Exxon-Mobil, Boeing, January 2000 - December 2005.

Table 2: Variace-covariance matrix of IBM, Exxon-Mobil, Boeing.

	IBM	EXXON-MOBIL	BOEING
IBM	0.009930
EXXON-MOBIL	0.001799	0.006744
BOEING	0.000030	0.001781	0.008282

Table 3: Expected return and standard deviation on the portfolio for values x_A, x_B.

xA	xB	E(Rp)	σp
1.0	0.0	0.000307	0.099649
0.9	0.1	0.001355	0.090175
0.8	0.2	0.002404	0.081830
0.7	0.3	0.003452	0.074991
0.6	0.4	0.004501	0.070102
0.5	0.5	0.005549	0.067587
0.4	0.6	0.006597	0.067711
0.3	0.7	0.007646	0.070459
0.2	0.8	0.008694	0.075547
0.1	0.9	0.009743	0.082542
0.0	1.0	0.010791	0.091005

Figure 5: Portfolio possibilities curve for two stocks.

Figure 6: Portfolio possibilities curve for three stocks.