Question
In: Statistics and Probability
Q7: Show the Portfolio Standard Deviation (equation). Say for total returns on assets in a stock...
Q7: Show the Portfolio Standard Deviation (equation). Say for total returns on assets in a stock portfolio. Show equations!
-What are the Dependent and Independent Variables (give a few examples)?
Dependent Variable:
Independent Variable(s):
--How would you select and determine these variables in a model? Important!
--What are tests of variable/model statistical significance? See regression tests!
Solutions
orchestra answered 1 year agoRelated Solutions
Q7: Show the Portfolio Standard Deviation (equation). Say for total returns on assets in a stock...
Q7: Show the Portfolio Standard Deviation (equation).
Say for total returns on assets in a stock portfolio. Show
equations!
--What would LOW covariance between stocks in the
portfolio have on the portfolio standard deviation? Q8: What is the
value of using regression techniques? Show Time-Series Forecast
Regression Equation/Definition: 5 Variable Model!
--What is and how would you use, in analyzing stocks or
companies: Show Equations:
--Cross-Sectional Regression:
--Time-Series Regression (Forecasting)
The Standard Deviation of stock returns for Stock A is 60% and The standard Deviation of...
The Standard Deviation of stock returns for Stock A is 60% and
The standard Deviation of market returns is 30% so If the
statistical correlation between Stock A and the overall market is
0.6, then the beta for stock A is: 60%/30% x 0.6= 1.2
What is the expected risk premium for investors with this beta
value compared to the market average for returns on investment?
What is the (population) standard deviation of portfolio returns?
Returns on stocks X and Y are listed below: Period 1 2 3 4 5 6 7 Stock X 6% 5% -2% 10% 3% 8% -4% Stock Y 11% 7% 10% -2% 3% 5% -1% Consider a portfolio of 70% stock X and 30% stock Y. What is the (population) standard deviation of portfolio returns? Please specify your answer in decimal terms and round your answer to the nearest thousandth (e.g., enter 12.3 percent as 0.123). Note that the correct answer will be evaluated based on...
Neon Corporation’s stock returns have a covariance with the market portfolio of .0345. The standard deviation...
Neon Corporation’s stock returns have a covariance with the
market portfolio of .0345. The standard deviation of the returns on
the market portfolio is 25 percent, and the expected market risk
premium is 8.8 percent. The company has bonds outstanding with a
total market value of $55.13 million and a yield to maturity of 7.8
percent. The company also has 4.63 million shares of common stock
outstanding, each selling for $23. The company’s CEO considers the
current debt–equity ratio optimal....
Neon Corporation’s stock returns have a covariance with the market portfolio of .0345. The standard deviation...
Neon Corporation’s stock returns have a covariance with the
market portfolio of .0345. The standard deviation of the returns on
the market portfolio is 25 percent, and the expected market risk
premium is 8.8 percent. The company has bonds outstanding with a
total market value of $55.13 million and a yield to maturity of 7.8
percent. The company also has 4.63 million shares of common stock
outstanding, each selling for $23. The company’s CEO considers the
current debt–equity ratio optimal....
Neon Corporation’s stock returns have a covariance with the market portfolio of .0455. The standard deviation...
Neon Corporation’s stock returns have a covariance with the
market portfolio of .0455. The standard deviation of the returns on
the market portfolio is 20 percent, and the expected market risk
premium is 7.9 percent. The company has bonds outstanding with a
total market value of $55.04 million and a yield to maturity of 6.9
percent. The company also has 4.54 million shares of common stock
outstanding, each selling for $24. The company’s CEO considers the
current debt–equity ratio optimal....
Neon Corporation’s stock returns have a covariance with the market portfolio of .0385. The standard deviation...
Neon Corporation’s stock returns have a covariance with the
market portfolio of .0385. The standard deviation of the returns on
the market portfolio is 20 percent, and the expected market risk
premium is 9.5 percent. The company has bonds outstanding with a
total market value of $55.2 million and a yield to maturity of 8.5
percent. The company also has 4.70 million shares of common stock
outstanding, each selling for $25. The company’s CEO considers the
current debt–equity ratio optimal....
What is the standard deviation of the returns on a portfolio that is invested in stocks...
What is the standard deviation of the returns on a portfolio
that is invested in stocks A, B, and C? 20 percent of the portfolio
is invested in stock A and 45 percent is invested in stock C.
State of Economy
Boom Normal Bust
Probability of Returns if State Occurs
State of Economy Stock A Stock B Stock C 20% 9% 3% 11%
55%4%5%8% 25% -2% 10% -13%
1. What is the expected standard deviation of the returns of a portfolio that is invested...
1. What is the expected standard deviation of the returns of a
portfolio that is invested 25 percent in Stock A, 40 percent in
Stock B, and the remainder invested in Stock C? (Hint: create a
column showing the distribution of returns for the portfolio. Then,
find the portfolio's expected return and variance as normally done
for a single asset.)
State of Economy
Probability
Return of A
Return of B
Return of C
Boom
0.20
29%
15%
6%
Normal
0.50...
Given the following information, what is the standard deviation of the returns on a portfolio that...
Given the following information, what is the standard deviation
of the returns on a portfolio that is invested 40 percent in stock
A, 35 percent in stock B, and the remainder in stock
C?
State of Economy
Probability of State of Economy
Stock A
Stock B
Stock C
Normal
0.65
14.30%
16.70%
18.20%
Recession
0.35
-9.80%
5.40%
-26.90%
A
12.72%
B
14.07%
C
1.41%
D
7.41%
E
11.86%
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