11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the...

11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. The minimum variance hedge ratio for a 3-month contract is:

a. 0.642

b. 0.732

c. 0.864

d. 0.997

Expert Solution

jeff jeffy answered 1 year ago

The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard...

The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. What is the minimum variance hedge ratio for a 3-month contract

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index...

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index returns over the most recent 20 quarters have a mean of 4%. Should a researcher who wants to show that the average quarterly returns for this index are positive reject the null hypothesis at the 5% significance level?

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index...

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index returns over the most recent 20 quarters have a mean of 4%. Should a researcher who wants to show that the average quarterly returns for this index are positive reject the null hypothesis at the 5% significance level?

A distribution is normal with a mean of 25 and a standard deviation of 3. 11....

A distribution is normal with a mean of 25 and a standard deviation of 3. 11. What is the median of the distribution? 12. What percent of the distribution lies between 22 and 28? 13. What percent of the distribution lies below 16? 14. What percent of the distribution lies above 28?

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a)...

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a) 0.15% of the values lies below: _________ b) 68% of the middle values lies between:______and______ c) 2.5% of the values lies above: ________ d) 0.15% of the values lies above:_________

a. A stock has an annual return of 11 percent and a standard deviation of 44...

a. A stock has an annual return of 11 percent and a standard deviation of 44 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.) b. Does this number make sense? Yes No

Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and...

Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .091, E(RB) = .151, σA = .361, and σB = .621. a-1. Calculate the expected return of a portfolio that is composed of 36 percent A and 64 percent B when the correlation between the returns on A and B is .51. (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)) ...

Stock X has an expected return of 11% and the standard deviation of the expected return...

Stock X has an expected return of 11% and the standard deviation of the expected return is 12%. Stock Z has an expected return of 9% and the standard deviation of the expected return is 18%. The correlation between the returns of the two stocks is +0.2. These are the only two stocks in a hypothetical world. A.What is the expected return and the standard deviation of a portfolio consisting of 90% Stock X and 10% Stock Z? Will any...

Find the sample variance and standard deviation. 23, 16, 3, 8, 11

Question

11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the...

Solutions

Expert Solution

Related Solutions

The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard...

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index...

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index...

A distribution is normal with a mean of 25 and a standard deviation of 3. 11....

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a)...

a. A stock has an annual return of 11 percent and a standard deviation of 44...

Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and...

Stock X has an expected return of 11% and the standard deviation of the expected return...

Find the sample variance and standard deviation. 23, 16, 3, 8, 11

Find the sample variance and standard deviation. 23, 16, 3, 8, 11