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1. Consider X = Z,Y = Z² with Z = N(0, 1). Which of the following statements is correct? (a) X and Y are independent and their correlation is zero. (b) X and Y are dependent and their correlation is zero. (c) X and Y are dependent and their correlation is non-zero. (d) X and Y are independent and their correlation is non-zero.

1. Consider X = Z,Y = Z² with Z = N(0, 1). Which of the following statements is correct? (a) X and Y are independent and their correlation is zero. (b) X and Y are dependent and their correlation is zero. (c) X and Y are dependent and their correlation is non-zero. (d) X and Y are independent and their correlation is non-zero.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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1. Consider X = Z, Y = Z² with Z = N(0, 1). Which of the following statements is correct? (a) X and Y are independent and their correlation is zero. (b) X and Y are dependent and their correlation is zero. (c) X and Y are dependent and their correlation is non-zero. (d) X and Y are independent and their correlation is non-zero. 2. In the capital asset pricing model, what does the stock beta stand for? (a) The volatility of the security (b) The joint volatility of any two securities in a portfolio (c) The relative co-movement of a security with respect to the market portfolio (d) The volatility of a security divided by the volatility of the market index 3. Which of the following statements about a stock's beta is true? (a) A beta greater than one is less risky than the market (b) A beta less than one is risk-free (c) A beta greater than one is overvalued (d) A beta greater than one is riskier than the market 4. Which of the following statements about the Sharpe ratio is false? (a) The Sharpe ratio is equal to the excess return a portfolio over the market return divided by the total risk of the portfolio. (b) The Sharpe ratio can be used to evaluate absolute performance of undiversified portfolios. (c) The Sharpe ratio considers both the systematic and unsystematic risks of a portfolio. (d) The Sharpe ratio is derived from the capital market line.
Transcribed Image Text:1. Consider X = Z, Y = Z² with Z = N(0, 1). Which of the following statements is correct? (a) X and Y are independent and their correlation is zero. (b) X and Y are dependent and their correlation is zero. (c) X and Y are dependent and their correlation is non-zero. (d) X and Y are independent and their correlation is non-zero. 2. In the capital asset pricing model, what does the stock beta stand for? (a) The volatility of the security (b) The joint volatility of any two securities in a portfolio (c) The relative co-movement of a security with respect to the market portfolio (d) The volatility of a security divided by the volatility of the market index 3. Which of the following statements about a stock's beta is true? (a) A beta greater than one is less risky than the market (b) A beta less than one is risk-free (c) A beta greater than one is overvalued (d) A beta greater than one is riskier than the market 4. Which of the following statements about the Sharpe ratio is false? (a) The Sharpe ratio is equal to the excess return a portfolio over the market return divided by the total risk of the portfolio. (b) The Sharpe ratio can be used to evaluate absolute performance of undiversified portfolios. (c) The Sharpe ratio considers both the systematic and unsystematic risks of a portfolio. (d) The Sharpe ratio is derived from the capital market line.
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