Suppose we have 101 observations of the returns from each firm. A test for the statistical significance of the correlation of the returns of Firm 1 and Firm 2 produced a t-statistic of 4.362. We havefound that the covariance of the returns is -10.We want to know if the average returns of the firm types differ significantly at the 1% level of significance.Each firm produces 1 unit of output and we are interested in the expected returns and variances today, so t-0.What is the result of the test?O a. P < a: Reject the nuil.O b.p > a: Reject the null.O C. None of the options are correct.O d.p > a: Do not reject the null.O e.p < a: Do not reject the null.QUESTION 15Under the assumption of normality, rationality and noting that Covr,, r2) = 2.5, suppose we have an investor who would like to have a portfolio with both of these firms.The investor has an objective function that balances the expected returns against the risk of the portfolio such that y = E(r;)Var(r). wherertis the portfolio of returns at each poitime, so rt= Lt+ r2 t. The investor is concerned with expected returns nine periods into the future (so t=9), and assumes that each firm will produce 1 unit of output.What is the expected return of a portfolio that places equal weight on each asset?Enter your result correct to 2 decimal places.chia sà màn hình của bạn.Dừng chia sẻ Our firms sell their output in open markets where there is some uncertainty about how their products will be re-ceived and this uncertainty affects each firm's returns. Letr, and r2 denote the returns of Firm 1 and Firm 2. u1 andHz denote their respective expected returns and ô and a the variances of the returns from each firm. To constructthe estimated expected returns and variances a very large sample of observations of was used. The estimated ex-pected returns and variances are functions of each firm's current output. Future predictions are made by includingt which describes how many weeks from now (now being (t = 0)) the expectation refers to.For Firm 1 the expected returns are:P1 = (1/10)y1 +t2/3and for Firm 2 expected returns are:i2 = (1/4)y2 + 2t/2For Firm 1 the expected variance of returns is:= 10y1 +t/2 + 2tand for Firm 2 expected variance of returns is:ô = 4y2 + t2where n and i2 denote the estimated expected returns of Firml and Firm 2 respectively. Similarly, ô and ôdenote the estimated variances of Firm 1 and Firm 2.If Firm 1 produces 1 unit of output, what is the estimated expected return and variance one period into the future (so t=1)?11121

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Suppose we have 101 observations of the returns from each firm. A test for the statistical significance of the correlation of the returns of Firm 1 and Firm 2 produced a t-statistic of 4.362. We have found that the covariance of the returns is -10. We want to know if the average returns of the firm types differ significantly at the 196 level of significance. Each firm produces 1 unit of output and we are interested in the expected returns and variances today, so t-0. What is the result of the test? O a.P < a: Reject the nul. O b.P > a: Reject the nul. O C. None of the options are correct. Od.p > a: Do not reject the null. O e.P < a: Do not reject the null.

Suppose we have 101 observations of the returns from each firm. A test for the statistical significance of the correlation of the returns of Firm 1 and Firm 2 produced a t-statistic of 4.362. We have found that the covariance of the returns is -10. We want to know if the average returns of the firm types differ significantly at the 196 level of significance. Each firm produces 1 unit of output and we are interested in the expected returns and variances today, so t-0. What is the result of the test? O a.P < a: Reject the nul. O b.P > a: Reject the nul. O C. None of the options are correct. Od.p > a: Do not reject the null. O e.P < a: Do not reject the null.

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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