17- An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the BIST100, then it is possible to reduce the variability of the portfolio's return. In other words, one can create a portfolio with positive returns but less exposure to risk. A sample of 26 years of BIST100 index and a portfolio consisting of stocks of private prisons, which are believed to be negatively related to the BIST100 index, is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of BIST100 index (X) to prove that the prison stocks portfolio is negatively related to the BIST100 index at a 5% level of significance. The results are given in the following EXCEL output. To test whether the prison stocks portfolio is negatively related to the BIST100 index, the measured value of the test statistic is Coefficients 4.8660 Standard Error T Stat P-value Intercept S&P 0.3574 13.6136 0.0000 -0.5025 0.0716 -7.0186 0.0000 a) O 0.072 b) O 0.357 C) -7.019 d) -0.503

17- An investment specialist claims that if one holds a portfolio that moves in the opposite direction to the market index like the BIST100, then it is possible to reduce the variability of the portfolio's return. In other words, one can create a portfolio with positive returns but less exposure to risk. A sample of 26 years of BIST100 index and a portfolio consisting of stocks of private prisons, which are believed to be negatively related to the BIST100 index, is collected. A regression analysis was performed by regressing the returns of the prison stocks portfolio (Y) on the returns of BIST100 index (X) to prove that the prison stocks portfolio is negatively related to the BIST100 index at a 5% level of significance. The results are given in the following EXCEL output. To test whether the prison stocks portfolio is negatively related to the BIST100 index, the measured value of the test statistic is Coefficients 4.8660 Standard Error T Stat P-value Intercept S&P 0.3574 13.6136 0.0000 -0.5025 0.0716 -7.0186 0.0000 a) O 0.072 b) O 0.357 C) -7.019 d) -0.503

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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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