1. Consider stocks A and B with the following past returns: Month 1 2 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B is?
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- 1. Consider stocks A and B with the following past returns:
|
Month |
1 |
2 |
3 |
4 |
|
A |
4% |
6% |
8% |
2% |
|
B |
10% |
8% |
4% |
6% |
The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B is?
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- Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B has an expected return of 18% and a standard deviation of 60%. The correlation coefficient between Stocks A and B is 0.2. What are the expected return and standard deviation of a portfolio invested 30% in Stock A and 70% in Stock B?I. 1. Consider stocks A and B with the following past returns: Month 1 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B equals: A. 1,43%; B. 0,41%; C. 1,41%; D. 6,4%; E...%I. 1. Consider stocks A and B with the following past returns: Month 1 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B equals: A. 1,43%; B. 0,41%; C. 1,41%; D. 6,4%; E...% 2. The table below presents the price of stock A and the points of a market index over the last four months. Month 1 2 3 4 А 100 110 108 103 M 1120 1150 1200 1190 a. The holding period logarithmic return of M equals: A. 2,95%; B. 6,06%; C. 5,5%; D. ...% b. The beta coefficient of stock A equals: A. 1,24; B. 1,13; C. 1,1; D. . c. The estimated alpha coefficient from the market model equals d. The coefficient of determination from the market model equals % ......
- 6. Consider stocks A and B with the following past returns: Month 1 4 A 7% 8% 4% 6% 4% 5% 8% 2% a. The contribution of stock B to the standard deviation of a portfolio composed of 60% A and 40% B equals: A. 0,6%; B. 1,4%; C. 2,4%; D. 0,4%; E. ...... b. The coefficient of correlation between A and B equals: A. -0, 3; B. -0,52; C. 0,52; D. 0,12; E. -0,4; F......What is the standard deviation of stock A if it has the following probabilities and rate of returns. Probability Return 0.3 -5% 0.4 14% 0.3 11% a. 9.11% b. 9.40% c. 8.62% d. 8.21%The index model has been estimated from the excess returns for stock A with the following results: = RA 12.00% +1.55RM+ eA °M = 24.00% σ(eд) = 18.50% What is the standard deviation of the return for stock A? (Round your answer to 2 decimal places.) Standard deviation %
- Which of the following statement(s) is(are) true? 1) The real rate of interest is determined by the supply and demand for funds. II) The real rate of interest is determined by the expected rate of inflation. III) The real rate of interest is unaffected by actions of the Fed. IV) The real rate of interest is equal to the nominal interest rate plus the expected rate of inflation. III and IV only. I only. OII and III only. O, II, III, and IV only. OI and III only.Suppose you are given the following information about 2 stocks, what is the return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"2. Consider stocks A and B with the following monthly returns: Stock 1 2 3 4 A -2% 3% 1% 6% 4% B 1% -2% 4% 5% 3% a. What is the expected return and risk of a portfolio composed of 30% A and 70% B? b. What is the contribution of each stock to portfolio's return and risk? c. What is the structure of the minimum risk portfolio? Compute its expected return and risk.
- 2. (a) You have a two-asset portfolio that comprises Stock PY and Stock NY with the following information: Proportion of Stock PY in the portfolio Proportion of Stock NY in the portfolio Standard deviation of Stock PY's returns Standard deviation of Stock NY's returns 48% 52% 3% 5% Calculate the standard deviation if the correlation coefficient of returns between both stocks is 0.15.Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .092, E(RB) = 152, đA = .362, and Og = .622. %3D Calculate the expected return of a portfolio that is composed of 37 percent A and 63 percent B when the correlation between the returns on A and B is .52. (Do not a-1. round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio that is composed of 37 percent A and 63 percent B when the correlation coefficient between the returns on A and B is .52. а-2. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio with the same portfolio weights as in h part (a) when the correlation coefficient between the returns on A and B is -.52. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a-1.…You have a sample of returns from Stocks A and B. What is the standard deviation of a portfolio consisting of 70% A and 30% B? Month Stock A Stock B 1 9% 6% 2 21% 8% 3 15% -2% -8% 3% -2% 8% a) 7.9% b) 8.4% c) 7.5% d) 8.2%