6. Consider stocks A and B with the following past returns: Month 1 2 4 A 7% 8% 4% 6% 4% 5% 8% 2% a. The contribution of stock B to the standard deviation of a portfolio composed of 60% A and 40% B equals: A. 0,6%; B. 1,4%; C. 2,4%; D. 0,4%; E. ...... b. The coefficient of correlation between A and B equals: A. -0, 3; B. -0,52; C. 0,52; D. 0,12;E. -0,4; F.

6. Consider stocks A and B with the following past returns: Month 1 2 4 A 7% 8% 4% 6% 4% 5% 8% 2% a. The contribution of stock B to the standard deviation of a portfolio composed of 60% A and 40% B equals: A. 0,6%; B. 1,4%; C. 2,4%; D. 0,4%; E. ...... b. The coefficient of correlation between A and B equals: A. -0, 3; B. -0,52; C. 0,52; D. 0,12;E. -0,4; F.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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What is the standard deviation of stock A if it has the following probabilities and rate of returns. Probability Return 0.3 -5% 0.4 14% 0.3 11% a. 9.11% b. 9.40% c. 8.62% d. 8.21%
I. 1. Consider stocks A and B with the following past returns: Month 1 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B equals: A. 1,43%; B. 0,41%; C. 1,41%; D. 6,4%; E...% 2. The table below presents the price of stock A and the points of a market index over the last four months. Month 1 2 3 4 А 100 110 108 103 M 1120 1150 1200 1190 a. The holding period logarithmic return of M equals: A. 2,95%; B. 6,06%; C. 5,5%; D. ...% b. The beta coefficient of stock A equals: A. 1,24; B. 1,13; C. 1,1; D. . c. The estimated alpha coefficient from the market model equals d. The coefficient of determination from the market model equals % ......
I. 1. Consider stocks A and B with the following past returns: Month 1 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B equals: A. 1,43%; B. 0,41%; C. 1,41%; D. 6,4%; E...%
1. Consider 3 stocks A, B, and Cand the risk-free rate RF=0.5%. The logarithmic rates of return are as follows: 6. RA:(%) RB.(%) Ret(%) 6. -2 8 9. 3. 8 -1 -5 a) Compute the mean returns the holding returns for the entire period. b) Determine the risk of each stock. c) Measure the correlation between A and B, A and C, and B and C. d) Compute the expected return and risk for the following portfolios: P1:40% from the budget was invested in A and the rest of the money in B P2: XA-40%, xc-60% • P3: XA=30%, xp=30%, xc=40% P4: Xp3=70%, xRE =30% Determine the contribution of each stock to the above portfolios return and risk. 2. Download the daily closing prices for two stocks during the past year (2021) and compute the following: a) The expected rate of return for each stock. b) The risk of each stock. c) The correlation coefficient between the two stocks' rates of return. d) The expected return and risk of an equally weighted portfolio. 6 0074?I 426m 674
1. Consider 3 stocks A, B, and C and the risk-free rate RF=0.5%. The logarithmic rates of return are as follows: 1 4 8. RA1(%) RB,(%) Rc.(%) -2 2 7 9 3. 7 4. 8. 3. -1 -5 a) Compute the mean returns the holding returns for the entire period. b) Determine the risk of each stock. c) Measure the correlation between A and B, A and C, and B and C. d) Compute the expected return and risk for the following portfolios: •P1:40% from the budget was invested in A and the rest of the money in B • P2: XA-40%, xc=60% • P3: XA-30%, Xg=30%, xC-40% P4: Xp3-70%, xRF=30%
1. Consider stocks A and B with the following past returns: Month 1 2 3 4 A 4% 6% 8% 2% B 10% 8% 4% 6% The contribution of stock B to the standard deviation of a portfolio composed of 30% A and 70% B is?
1. The following table presents the expected returns of three stocks and the risk free rate. в 4% Stock A 8% Expected return What is the expected return and risk on an equally weighted portfolio composed of these four assets? The standard deviation of stock A is 10% and the covariance between A and B equals 0.0045. The correlation matrix between A, B and C is: 14% 4% Correl B A 1 0.3 0.7 B 0.3 0.5 0.5 Combining stocks A and C in a portfolio in equal proportions will result in a variance of 1.95%. 0.7
Suppose you are given the following information about 2 stocks, what is the return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
8. (Portfolio of two stocks) The following spreadsheet presents data for stocks A and B. A B C 1 2 RETURN STATISTICS OF STOCKS A AND B Stock A Stock B 3 Average return 15% 10% 4 Variance 0.12 0.07 5 Standard deviation 34.64% 26.46% 6 7 Covariance of return, Cov(AIB) 0.0160 0.1746 <=B7/(B5*C5) a. 8 Correlation of return What are the return and the standard deviation of a portfolio com- posed of 30% of stock A and 70% of stock B? b. What are the return and the standard deviation of an equally weighted portfolio of stocks A and B?
QG. The following information is available about the stocks of two companies A and B: Stock A Stock B Expected Return (%) Probability -5 12 15 20 0.05 0.55 0.35 0.05 Expected Return (%) Probability 5 15 18 20 0.05 0.65 0.20 0.10 Stock Standard Deviation of Returns (%) A B 25 35 The coefficient of correlation between the returns on A and B is 0.05. A portfolio is constructed by allocating the funds between A and B in the ratio of 2:3. Calculate the expected return on the portfolio. b. Calculate the portfolio risk.
Consider information given in the table below and answers the question asked thereafter: State Probability return on stock A Return on stock B A 0.15 10% 9% B 0.15 6% 15% C 0.10 20% 10% D 0.18 5% -8% E 0.12 -10% 20% F 0.30 8% 5% Calculate covariance and coefficient of correlation between the returns of thestocks A and B.v. Now suppose you have $100,000 to invest and you want to a hold a portfoliocomprising of $45,000 invested in stock A and remaining amount in stock B.Calculate risk and return of your portfolio.
Consider the following probability distribution for stocks A and B: State Return on Stock A 1 10% 2 13% 3 12% 4 14% 5 15% 0.46. The coefficient of correlation between A and B is 0.60. 0.58. 1.20. Probability 0.10 0.5. 0.20 0.20 0.30 0.20 Return on Stock B 8% 7% 6% 9% 8%

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