Question
In: Finance
For the next 4 questions suppose the following holds: Suppose the security I and security J...
- For the next 4 questions suppose the following holds:
Suppose the security I and security J have the following historical returns:
|
Year |
rI |
rJ |
|
2015 |
20% |
40% |
|
2016 |
29% |
36% |
|
2017 |
-12% |
-25% |
What is the (arithmetic) average return on security I?
|
9.17% |
||
|
12.33% |
||
|
13.00% |
||
|
14.18% |
||
|
15.52% |
- What is the standard deviation of the return on security I? (Use n-1 for the denominator.)
|
9.09% |
||
|
17.39% |
||
|
20.82% |
||
|
21.55% |
||
|
25.18% |
Suppose you invest 50% of your money in I and the rest in J to form a portfolio P. What is the average return on portfolio P?
|
9.17% |
||
|
11.33% |
||
|
13.15% |
||
|
14.67% |
||
|
17.00% |
- What is the standard deviation of the return on portfolio P? (Use n-1 for the denominator.)
|
9.09% |
||
|
17.39% |
||
|
25.82% |
||
|
28.75% |
||
|
29.02% |
Solutions
Expert Solution
ALL ANSWERS ARE ROUNDED TILL 2 DECIMALS
FULL MANUAL CALCULATIONS ARE SHOWN
jeff jeffy answered 1 year agoRelated Solutions
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Suppose the security I and security J have the following historical returns: Year rI rJ 2015...
Suppose the security I and security J have the following
historical returns:
Year
rI
rJ
2015
20%
40%
2016
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36%
2017
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What is the standard deviation of the return on portfolio P?
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25.82%
28.75%
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i j(i) i j(i) i j(i) i j(i) 0 -0.0499 7 -0.08539 13 0.144812 19 0.08021...
i
j(i)
i
j(i)
i
j(i)
i
j(i)
0
-0.0499
7
-0.08539
13
0.144812
19
0.08021
1
0.107506
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9
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3
-0.04717
10
0.219422
16
-0.02898
22
0.058373
4
-0.09176
11
0.083849
17
0.08021
23
0.79083
5
-0.25918
12
-0.02261
18
-0.14271
24
0.130254
6
0.055643
25
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