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An investor estimates the expected returns of the following three shares as follows (for three alternative scenarios concerning the country's likely economic situation in the near future): Scenarios Recession Stabilization Development Probability of scenario occurrence 20% 60% 20% A) For shares A, B and C find: i) the expected yield, ii) the risk (standard deviation), and iii) the coefficient of variability. Expected performance share A 4% 6% 8% Expected performance share B 10% 6% 2% Expected performance share C 3% 6% 9% Which stock would you choose according to the criterion of the coefficient of volatility? B) The same investor decides to invest, the following amounts, only in one of the following two portfolios: Portfolio P: EUR 30,000 in share A and EUR 70,000 in share B Portfolio P: EUR 30,000 in share C and EUR 70,000 in share B (i) Calculate the expected return and risk (standard deviation) for each of the two portfolios. The co-fluctuation of the returns of shares A and B (Portfolio П) is -0.00032 and the corresponding of the returns of shares C and B (Portfolio P) is -0,00048. (ii) Comment on the expected return and risk (standard deviation) of shares A, i) above or below the Securities Market Line. 1

An investor estimates the expected returns of the following three shares as follows (for three alternative scenarios concerning the country's likely economic situation in the near future): Scenarios Recession Stabilization Development Probability of scenario occurrence 20% 60% 20% A) For shares A, B and C find: i) the expected yield, ii) the risk (standard deviation), and iii) the coefficient of variability. Expected performance share A 4% 6% 8% Expected performance share B 10% 6% 2% Expected performance share C 3% 6% 9% Which stock would you choose according to the criterion of the coefficient of volatility? B) The same investor decides to invest, the following amounts, only in one of the following two portfolios: Portfolio P: EUR 30,000 in share A and EUR 70,000 in share B Portfolio P: EUR 30,000 in share C and EUR 70,000 in share B (i) Calculate the expected return and risk (standard deviation) for each of the two portfolios. The co-fluctuation of the returns of shares A and B (Portfolio П) is -0.00032 and the corresponding of the returns of shares C and B (Portfolio P) is -0,00048. (ii) Comment on the expected return and risk (standard deviation) of shares A, i) above or below the Securities Market Line. 1

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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An investor estimates the expected returns of the following three shares as follows (for three alternative scenarios concerning the country's likely economic situation in the near future): Scenarios Recession Stabilization Development Probability of scenario occurrence 20% 60% 20% A) For shares A, B and C find: i) the expected yield, ii) the risk (standard deviation), and iii) the coefficient of variability. Expected performance share A 4% 6% 8% Expected performance share B 10% 6% 2% Expected performance share C 3% 6% 9% Which stock would you choose according to the criterion of the coefficient of volatility? B) The same investor decides to invest, the following amounts, only in one of the following two portfolios: Portfolio P: EUR 30,000 in share A and EUR 70,000 in share B Portfolio P: EUR 30,000 in share C and EUR 70,000 in share B (i) Calculate the expected return and risk (standard deviation) for each of the two portfolios. The co-fluctuation of the returns of shares A and B (Portfolio П) is -0.00032 and the corresponding of the returns of shares C and B (Portfolio P) is -0,00048. (ii) Comment on the expected return and risk (standard deviation) of shares A, i) above or below the Securities Market Line. 1
Transcribed Image Text:An investor estimates the expected returns of the following three shares as follows (for three alternative scenarios concerning the country's likely economic situation in the near future): Scenarios Recession Stabilization Development Probability of scenario occurrence 20% 60% 20% A) For shares A, B and C find: i) the expected yield, ii) the risk (standard deviation), and iii) the coefficient of variability. Expected performance share A 4% 6% 8% Expected performance share B 10% 6% 2% Expected performance share C 3% 6% 9% Which stock would you choose according to the criterion of the coefficient of volatility? B) The same investor decides to invest, the following amounts, only in one of the following two portfolios: Portfolio P: EUR 30,000 in share A and EUR 70,000 in share B Portfolio P: EUR 30,000 in share C and EUR 70,000 in share B (i) Calculate the expected return and risk (standard deviation) for each of the two portfolios. The co-fluctuation of the returns of shares A and B (Portfolio П) is -0.00032 and the corresponding of the returns of shares C and B (Portfolio P) is -0,00048. (ii) Comment on the expected return and risk (standard deviation) of shares A, i) above or below the Securities Market Line. 1
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