STAT TECH IN BUSINESS & ECON AC
18th Edition
ISBN: 9781264731657
Author: Lind
Publisher: MCG
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Chapter 20, Problem 6E
To determine
Find the expected opportunity losses.
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Discuss two extensions to the original GARCH (p,q) model and explain additional characteristics of financial data they might be able to capture.
Two investments, X and Y, have the characteristics shown below.
E(X) = $60, E(Y) = $90, o = 10,000, o? = 17,000 and axy = 6,500
If the weight of portfolio assets assigned to investment X is 0.8, calculate the
a. portfolio expected return and
b. portfolio risk.
a. If the weight of portfolio assets assigned to investment X is 0.8, the portfolio expected return is $
(Type an integer or a decimal.)
b. If the weight of portfolio assets assigned to investment X is 0.8, the portfolio risk is approximately $.
(Round to two decimal places as needed.)
A survey of 137 investment managers in a poll revealed the following.
• 46% of managers classified themselves as bullish or very bullish on the stock market.
• The average expected returm over the next 12 months for egquities was 11.5%.
- 21% selected health care as the sector most likely to lead the market in the next 12 months.
• When asked to estimate how long it would take for technology and telecom stocks to resume sustainable growth, the managers' average response was 2.8 years
(a) Cite two descriptive statistics. (Select all that apply.)
O of those investment managers surveyed, 46% were bulish or very bullish on the stock market.
O of those investment managers surveyed, 21% selected health care as the sector most likely to lead the market in the next 12 months.
D of those investment managers surveyed, 46% were bulish or very bullish on health care stocks over the next 2.8 years.
D of those linvestment managers surveyed, 11.5% expect it would take 12 months for equities to resume…
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STAT TECH IN BUSINESS & ECON AC
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