You are given the following information about 4 stocks:Variance-Covariance Matrix1Stock30.0125 0.0244 0.45250.0125 0.0759 0.0252 0.01550.0244 0.0252 0.0987 0.08320.4525 0.0155 0.0832 0.0288410.0325234What is the variance of the equally weighted portfolio consisting of these stocks? Round yourfinal answer to four decimal places.

Weight in stock 1 (w1) = 0.25 Weight in stock 2 (w2) = 0.25 Weight in stock 3 (w3) = 0.25 Weight in…

You are given the following information about 4 stocks: Variance-Covariance Matrix 3 0.0325 0.0125 0.0244 0.4525 0.0125 0.0759 0.0252 0.0155 0.0244 0.0252 0.0987 0.0832 0.4525 0.0155 0.0832 0.0288 Stock 1 4 1 3 4 What is the variance of the equally weighted portfolio consisting of these stocks? Round your final answer to four decimal places.

You are given the following information about 4 stocks: Variance-Covariance Matrix 3 0.0325 0.0125 0.0244 0.4525 0.0125 0.0759 0.0252 0.0155 0.0244 0.0252 0.0987 0.0832 0.4525 0.0155 0.0832 0.0288 Stock 1 4 1 3 4 What is the variance of the equally weighted portfolio consisting of these stocks? Round your final answer to four decimal places.

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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Given the following probability distribution, what are the expected return and the standard deviation of returns for Security J? State Pi ri 1 0.5 11% 2 0.3 8% 3 0.2 5% O 9.40%; 2.04% O 8.90%; 2.34% O 7.40%; 2.94% O 8.40%; 2.64% O 7.90%; 1.74%
Is the portfolio risk the weighted average of the variance or covariance?
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
Suppose that there are four risky assets whose expected returns E(r) and variance- covariance matrix (S) are shown in the spreadsheet below. We also consider the portfolio weights of two portfolios x and y of risky assets (see Cells B8:E9): 1 8 Portfolio x 9 Portfolio y A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance, S 20 Portfolio variance, 21 Portfollo standard deviation o 0.10 0.01 0.03 0.05 11 Portfolio x and y statistics: Mean, variance, covariance, correlation 12 Mean, Ejr, 13 Variance, 14 Covariance() 15 Correlation P 16 17 Calculating returns of combinations of Portfolio x and Portfolio y 18 Proportion of x 19 Mean portfolio return, r 0.01 0.30 0.06 -0.04 0.20 0.20 10.50% 0.1216 0.0714 0.4540 ? ? ? 0.3 0.03 0.06 0.40 0.02 0.30 0.10 ? 0.05 0.02 0.50 0.40 0.10 0.10 0.60 Mean, Er Variance, 0.2014 Question il Question ili Mean returns E(r) ? 7% 9% 11% 20% Question i i. Write the Excel formula used to estimate the mean and variance of portfolio y in cells E12 and E13,…
Supposing the return from an investment has the following probability distribution Return Probability R (%) 8 0.2 10 0.2 12 0.5 14 0.1 Required: What is the expected return of the investment? What is the risk as measured by the standard deviation of expected returns?
2. The following table gives information on the return and variance of assets A and B, whose covariance is 0.0003: A B 0} 0,0009 0,0012 E (R₂) 0,05 0,06 a. Does the portfolio (1/3 of A and 2/3 of B) dominate the portfolio (2/3 of A and 1/3 of B)? b. Does the portfolio (1/2, 1/2) belong to the efficient frontier? c. If there were the possibility of lending and borrowing at 2%, would the portfolio (1/2, 1/2) belong to the new efficient frontier?
A stock's returns have the following distribution: Probability Rate of Return 0.1 -2% 0.2 -10% 0.4 10 % 0.2 20 % 0.1 30% Calculate the stock's a) expected return, b) standard deviation, and c) coefficient of variation.
A probability distribution of possible returns from a share has a variance of 0.0064. What is the standard deviation of this probability distribution? a. 0.08 b. 0.64 c. 8% d. Both (a) and (c)
Given the following probability distribution, what is the standard deviation of returns for Security J? (Expresss your answer in percentage, but do not include the percent sign, %, i.e., 4.65) State Pi rJ 1 0.2 8 % 2 0.6 12 3 0.2 17
v.2
1. Using the following returns, calculate the average returns, the variance, standard deviations, and coefficient of variation for X and Y. Which stock is the least risky? Yr 1 2 3 Rx 12.20 9.65 0.00 6.50 Ry 4 8.00 -2.00 12.50 9.57
Which of the following measures the total risk of a portfolio? A. Standard Deviation B. Correlation Coefficient C. Beta D. Alpha

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