eded, round your answer to three decimal digits. 0.082 ortfolio Return 0.104 turns are practically independent. The correlation betwe urn? If needed, round your answer to three decimal digit 0.052 prtfolio Return 0.067
eded, round your answer to three decimal digits. 0.082 ortfolio Return 0.104 turns are practically independent. The correlation betwe urn? If needed, round your answer to three decimal digit 0.052 prtfolio Return 0.067
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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¨Hi,
can you please help mw with this exercise? Please advise what is the correct answear, what do I have to enter in the tab. attached is the screenshot.
Thank you!
Transcribed Image Text:Suppose you are going to invest equal amounts in three stocks. The annual return from each stock is normally distributed with
mean 0.01 (1%) and standard deviation 0.06. The annual return on your portfolio, the output variable of interest, is the average
of the three stock returns. Run @RISK, using 1,000 iterations, on each of the following scenarios.
a. The three stock returns are highly correlated. The correlation between each pair is 0.9. What are mean and standard deviation
portfolio return? If needed, round your answer to three decimal digits.
Mean Portfolio Return
0.082
Standard Deviation Portfolio Return
0.104
b. The three stock returns are practically independent. The correlation between each pair is 0.1. What are mean and standard
deviation portfolio return? If needed, round your answer to three decimal digits.
Mean Portfolio Return
0.052
Standard Deviation Portfolio Return
0.067
c. The first two stocks are moderately correlated. The correlation between their returns is 0.4. The third stock's return is
negatively correlated with the other two. The correlation between its return and each of the first two is -0.8. What are mean and
standard deviation portfolio return? If needed, round your answer to three decimal digits.
Mean Portfolio Return
0.016
Standard Deviation Portfolio Return
0.035
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