Answered: ANZ And BHP have a correlation of .2…

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ANZ And BHP have a correlation of .2 Weight of the minimum variance portfolio 0.736 and 0.264.

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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Based on the information, calculate expected returns for each share, variance for each share and standard deviation for each share
The covariance of returns between Exxon Mobile Corporation (XOM) and Costco Wholesale Corporation (COST) is 0.0134. The standard deviation of the return of XOM is 6.27%. If the correlation of returns between XOM and COST is 0.4219, the variance of COST is closest to A. 30.35%. B. 25.66%. C. 14.81%. D. 10.02%.
Suppose two asset returns are described by a two factor model, n = 0% + 11 + 1.82 + e1 2 = -1% + 2/1 + 0.52 + e2 where the volatility of first factor is 30%, the volatility of the second factor is 10%, and the correlation between the two factors is 0.5. Suppose also that the volatilities of the error terms ej and ez are both 10%. What is the covariance of n and r2 ? (Nearest 0.0001).
You are going to invest in Asset J and Asset S. Asset J has an expected return of 13.6 percent and a standard deviation of 54.6 percent. Asset S has an expected return of 10.6 percent and a standard deviation of 19.6 percent. The correlation between the two assets is 0.50. What are the standard deviation and expected return of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Expected return Standard deviation % %
Asset K has an expected return of 10 percent and a standard deviation of 28 percent. Asset L has an expected return of 7 percent and a standard deviation of 18 percent. The correlation between the assets is .40. What are the expected return and standard deviation of the minimum variance portfolio?
The variances of stocks A and B are 1 percentage square and 4 percentage square, respectively. If the covariance between the two stocks is 0.6 percentage square, what is the correlation? Dont
The betas for company 1 and company 2 are 0.636 and 0.291, respectively. The market variance is 10.3%. Form an equally-weighted portfolio of company 1 and company 2. The systematic risk of this portfolio according to the single index model is closest to Select one: a. 1.92% b. 4.56% c. 2.21% O d. 3.25% <
Maroon has an expected return of 21%, and a variance of 0.014. Gray has an expected return of 15%, and a variance of 0.009. The covariance between Maroon and Gray is 0.06. Using these data, calculate the variance of a portfolio consisting of 55% Maroon and 45% Gray. 0.18910 0.03576 0.01175 0.03526 0.00794
Consider Microsoft Corporation (MSFT) and Meta Platforms, Inc. (META) that have returns variances of 6.25% and 3.24%, respectively. Calculate the standard deviation of portfolio returns for an equal-weighted portfolio of the two assets when their correlation of returns is 0. A. 24.71% B. 19.20% C. 15.40% D. 10.28%
The returns on assets C and D are strongly correlated with a correlation coefficient of 0.80. The variance of returns on C is 0.0009, and the variance of returns on D is 0.0036. What is the covariance of returns on C and D? Give typing answer with explanation and conclusion
1. Please, compute mean returns, variances and covariance among the two assets of the IBEX35 and present the vector of returns and the matrix.
In terms of Porfolio Variance calculation/formula of 0.02819 your computation is different than mine of 0.8733428592 based on the formula you provided. Can you explain on how did you get the 0.02819 portfolio variance

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