{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

exercise ch.13 - A B Recession 0.2-0.2-0.2 Normal 0.5 0.2...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
Year A B 2000 -0.2 -0.2 2001 0.2 0.3 2002 0.6 0.4 State of Economy prob A B Recession 0.2 -0.2 -0.2 Normal 0.5 0.2 0.3 Boom 0.3 0.6 0.4 1-2) Historical Return and Variance Calculation Stock A and B have annual returns during 2000 to 2002. 1) what is the arithmetic and geometric average historical annual returns of each stock? 2) what is the historical variance of each stock? 3-4) Expected Return and Risk (Variance) calculation. We assume to have two securities in a portfolio. Expected returns in each economic status are given in the table below. 3) Calculate expected returns of securities A and B.
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Year A B 2000 -0.2 -0.2 2001 0.2 0.3 2002 0.6 0.4 Weight 0.25 0.75 State of Economy prob A
Background image of page 2
Background image of page 3
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: A B Recession 0.2-0.2-0.2 Normal 0.5 0.2 0.3 Boom 0.3 0.6 0.4 Weight 0.25 0.75 4) Calculate risks (standard deviation or variance) of each security. 5-6) Historical Portfolio Return and Risk (variance) calculation. 5) If we are supposed to have a portfolio composed of security A and B during 2000 to 2002, what was historical return of the portfolio 6) What was the risk (variance) of the portfolio? 7-8) Expected Portfolio Return and Risk 7) If we are supposed to have a portfolio composed of security A and B, what is the return of the portfolio 8) What is the risk (variance) of the portfolio?...
View Full Document

{[ snackBarMessage ]}