Mathematics, 03.06.2020 01:57 siyah87
Suppose that the return of stock A is normally distributed with mean 4% and standard deviation 5%, the return of stock B is normally distributed with mean 8% and standard deviation 10%, and the covariance between the returns of stock A and stock B is -30(%)2 . Now you have an endowment of 1 dollar, and you decide to invest w dollar in stock A and 1 - w dollar in stock B. Let rp be the overall return of your portfolio, then:
rp = wrA + (1 - w)rB
Answer the following questions using w = 0.5.
a) Compute the expectation and variance of your portfolio. (i. e., E[rp] and Var(rp))
b) Find the 5th percentile of rp. (This quantity is often called the 5% Value at Risk.)
c) If Cov(rA, rB) = 30(%)2 rather than -30(%)2 , find E[rp] and Var(rp) again.
d) Would Cov(rA, rB) have an impact on E[rp]?
Answers: 1
Mathematics, 21.06.2019 17:00
Given that ot =5, xt=12, and ox= 13 is xy tangent to circle o at t? explain.
Answers: 1
Mathematics, 21.06.2019 18:30
School has 204 sixth grade students. if the sixth grade is 30% of the total school, how many students are in the middle school?
Answers: 2
Mathematics, 21.06.2019 18:30
The base of a triangle exceeds the height by 9 inches. if the area is 180 square inches, find the length of the base and the height of the triangle.
Answers: 3
Mathematics, 21.06.2019 19:30
Need now max recorded the heights of 500 male humans. he found that the heights were normally distributed around a mean of 177 centimeters. which statements about maxβs data must be true? a) the median of maxβs data is 250 b) more than half of the data points max recorded were 177 centimeters. c) a data point chosen at random is as likely to be above the mean as it is to be below the mean. d) every height within three standard deviations of the mean is equally likely to be chosen if a data point is selected at random.
Answers: 1
Suppose that the return of stock A is normally distributed with mean 4% and standard deviation 5%, t...
Business, 15.02.2022 14:00
Computers and Technology, 15.02.2022 14:00
Business, 15.02.2022 14:00
Geography, 15.02.2022 14:00
Mathematics, 15.02.2022 14:00
Computers and Technology, 15.02.2022 14:00
Chemistry, 15.02.2022 14:00
Mathematics, 15.02.2022 14:00
History, 15.02.2022 14:00