Using the following 3 securities calculate:
1. Expected return
2. Variance
3. Standard deviation
4. Correlation between all possible pairs
5. Covariance between all possible pairs
Probability Stock A Stock B Stock C
.2 14% 29% 4%
.2 11% 21% 9%
.2 5.25% 25% 14%
.4 -3% 10% 20%
Using the following percentages, calculate the portfolio
variance and expected return for each portfolio.
Portfolio Stock A Stock B Stock C
1 40% 60%
2 60% 40%
3 35% 30% 35%
Consider the following five monthly returns:
0.07
0.00
0.06
0.1
0.01
a. Calculate the arithmetic average monthly return over this
period.
b. Calculate the geometric average monthly return over this
period.
c. Calculate the monthly variance over this period.
d. Calculate the monthly standard deviation over this
period.
Calculate the standard deviation of the following returns. Year
Return 1 0.23 2 -0.08 3 0.03 4 -0.09 5 0.17 Enter the answer with 4
decimals, e.g. 0.1234.
Calculate the variance of the following
returns.
Year Return
1 -0.2
2 -0.08
3 -0.08
4 0.19
5 0.21
Enter the answer with 4 decimals, e.g. 0.1234.
Stocks A and B have the following returns:
Stock A
Stock B
1
0.08
0.06
2
0.05
0.01
3
0.12
0.06
4
−0.04
0.03
5
0.08
−0.02
a. What are the expected returns of the two stocks?
b. What are the standard deviations of the returns of the two
stocks?
c. If their correlation is0.45, what is the expected return and
standard deviation of a portfolio of 62%stock A and 38%stock
B?
Shares A and B have the following returns:
Stock A
Stock B
1
0.08
0.06
2
0.06
0.04
3
0.12
0.05
4
−0.05
0.03
5
0.09
−0.02
a. What are the expected returns of the two shares?
b. What are the standard deviations of the returns of the two
shares?
c. If their correlation is
0.44,
what is the expected return and standard deviation of a
portfolio of
52%
share A and
48%
share B?
Stocks A and B have the following returns:
Stock A
Stock B
1
0.11
0.06
2
0.07
0.04
3
0.13
0.03
4
−0.01
0.02
5
0.08
−0.03
(Round to three decimal places.)
a. What are the expected returns of the two stocks?
b. What are the standard deviations of the returns of the two
stocks?
c. If their correlation is 0.45, what is the expected return
and standard deviation of a portfolio of 70%
stock A and 30% stock B?...
A stock’s returns have the following distribution:
Probability
Stock Return
0.1
–8%
0.8
18%
0.1
47%
The stock’s expected return is 18.3%. Calculate its standard
deviation.
Consider the following data:
x
-4
-3
-2
-1
0
P(X=x)
0.2
0.1
0.2
0.1
0.4
Step 2 of 5 : Find the variance. Round your answer to one
decimal place.
Step 3 of 5 : Find the standard deviation. Round your answer to
one decimal place.