7. Consider the following returns (15points): Stock X Realized Stock Y Realized Return Return 20.1% -14.6% 4.3% -58.1% 71.1% 17.3% 0.9% Stock Z Realized Return Year End 2004 2005 2006 2007 2008 2009 (1) (5 points) What are standard deviations of stock X and stock Y respectively? (2) (5 points) What are is the correlation between stock X's return and stock Y's return? 72.7% -25.7% 56.9% 6.7% 17.9% 0.2% -3.2% -27.0% 27.9% -5.1% -11.3% (3) (5 points) Please estimate the return and standard deviation of the combination of stock X and stock Z in the equal shares
7. Consider the following returns (15points): Stock X Realized Stock Y Realized Return Return 20.1% -14.6% 4.3% -58.1% 71.1% 17.3% 0.9% Stock Z Realized Return Year End 2004 2005 2006 2007 2008 2009 (1) (5 points) What are standard deviations of stock X and stock Y respectively? (2) (5 points) What are is the correlation between stock X's return and stock Y's return? 72.7% -25.7% 56.9% 6.7% 17.9% 0.2% -3.2% -27.0% 27.9% -5.1% -11.3% (3) (5 points) Please estimate the return and standard deviation of the combination of stock X and stock Z in the equal shares
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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Question
1
Transcribed Image Text:7. Consider the following returns (15points):
Year End
2004
Stock X
Realized Stock Y Realized
Return
20.1%
72.7%
-25.7%
56.9%
6.7%
17.9%
Return
-14.6%
4.3%
-58.1%
Stock Z
Realized Return
71.1%
17.3%
0.9%
0.2%
-3.2%
-27.0%
2005
2006
2007
2008
2009
(1) (5 points) What are standard deviations of stock X and stock Y respectively?
(2) (5 points) What are is the correlation between stock X's return and stock Y's return?
(3) (5 points) Please estimate the return and standard deviation of the combination of stock X and
stock Z in the equal shares
27.9%
-5.1%
-11.3%
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