Question

In: Statistics and Probability

Suppose that some data have been collected on the returns on a portfolio i and on...

Suppose that some data have been collected on the returns on a portfolio i and on the excess returns on a market index as shown in the following table. What is the OLS estimator for βi ?

year	Portfolio return	Market return
2015	2.8	1.5
2016	3.9	4.3
2017	4.6	5.6
2018	1.6	2.1

A.

0.51

B.

0.60

C.

0.32

D.

1.23

Expert Solution

Answer:

Given that:

Suppose that some data have been collected on the returns on a portfolio i and on the excess returns on a market index as shown in the following table

Year	Portfolio return	Market return
2015	2.8	1.5
2016	3.9	4.3
2017	4.6	5.6
2018	1.6	2.1


1.5	2.8	-1.875	-0.425	3.515625	0.180625	0.796875
4.3	3.9	0.925	0.675	0.855625	0.455625	0.624375
5.6	4.6	2.225	1.375	4.950625	1.890625	3.059375
2.1	1.6	-1.275	-1.625	1.625625	2.640625	2.071875
13.5	12.9			10.9475	5.1675	6.5525

Option (B) is correct answer

orchestra answered 2 years ago

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