Q2. A)The following are monthly percentage price changes for four market indexes. Month 1 Rus sell 2000 0.04 D JIA S&P 500 Nikkei 0.03 0.02 0.04 2 0.07 0.06 0.10 -0.02 -0.04 0.03 0.11 3 -0.02 -0.01 0.07 4 0.01 0.03 0.02 0.02 0.06 0.05 0.04 6 -0.06 -0.04 -0.08 Compute the following. a. Aver age monthly rate of return for each index b. Standard deviation for each index c. Covariance between the rates of return for the following indexes: DJIA-S&P 500 S&P 500–Russell 2000 S&P 500–Nikkei Russell 2000– Nikkei d. The correlation coefficients for the same four combinations e. Using the answers from parts (a), (b), and (d), calculate the ex pected retur n and standard deviation of a por tfolio consisting of equal parts of (1) the S&P and the Rus sell 2000 and (2) the S&P and the Nikkei. Discuss th e two por tfolios.

Q2. A)The following are monthly percentage price changes for four market indexes. Month 1 Rus sell 2000 0.04 D JIA S&P 500 Nikkei 0.03 0.02 0.04 2 0.07 0.06 0.10 -0.02 -0.04 0.03 0.11 3 -0.02 -0.01 0.07 4 0.01 0.03 0.02 0.02 0.06 0.05 0.04 6 -0.06 -0.04 -0.08 Compute the following. a. Aver age monthly rate of return for each index b. Standard deviation for each index c. Covariance between the rates of return for the following indexes: DJIA-S&P 500 S&P 500–Russell 2000 S&P 500–Nikkei Russell 2000– Nikkei d. The correlation coefficients for the same four combinations e. Using the answers from parts (a), (b), and (d), calculate the ex pected retur n and standard deviation of a por tfolio consisting of equal parts of (1) the S&P and the Rus sell 2000 and (2) the S&P and the Nikkei. Discuss th e two por tfolios.

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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Question

100%

Q2. A)The following are monthly percentage price changes for four market indexes.
S&P 500
0.02
Month
D JIA
Rus sell 2000
Nikkei
0.04
-0.02
0.03
0.04
2
0.07
0.06
0.10
3
-0.02
-0.01
-0.04
0.07
4
0.01
0.03
0.03
0.02
5
0.05
0.04
0.11
0.02
6
-0.06
-0.04
-0.08
0.06
Compute the following.
a. Average monthly rate of return for each index
b. Standard deviation for each index
c. Covariance between the rates of return for the following indexes:
D JIA -S&P 500
S&P 500-Russell 2000
S&P 500-Nikkei
Russell 2000-Nikkei
d. The correlation coefficients for the same four combinations
e. Using the answers from parts (a), (b), and (d), calculate the ex pected retur n and standard deviation of a por
tfolio consisting of equal parts of (1) the S&P and the Rus sell 2000 and (2) the S&P and the Nikkei. Discuss th
e two por tfolios.

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