You have been following a stock for 6 months and the following is its past return Year 1: -5% Year 2: -10% Year 3: 15% Year 4: 5% Year 5: 10% Year 6: 15% What is the expected return and standard deviation of the stock based on the historical data? Assume normal distribution, what is VaR at 5% for this stock? What is the Sharpe ratio of the stock based on historical data, risk free rate is 1%?
You have been following a stock for 6 months and the following is its past return Year 1: -5% Year 2: -10% Year 3: 15% Year 4: 5% Year 5: 10% Year 6: 15% What is the expected return and standard deviation of the stock based on the historical data? Assume normal distribution, what is VaR at 5% for this stock? What is the Sharpe ratio of the stock based on historical data, risk free rate is 1%?
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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You have been following a stock for 6 months and the following is its past return
Year 1: -5%
Year 2: -10%
Year 3: 15%
Year 4: 5%
Year 5: 10%
Year 6: 15%
- What is the expected return and standard deviation of the stock based on the historical data?
- Assume
normal distribution , what is VaR at 5% for this stock? - What is the Sharpe ratio of the stock based on historical data, risk free rate is 1%?
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