as372w10a2 - ActSc 372 Winter 2010 Assignment 2 Due Date:...

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Unformatted text preview: ActSc 372 Winter 2010 Assignment 2 Due Date: Friday, February 5, 2010 (Beginning of Class) 1. The returns on small-capitalization stocks and on the S&P/TSX 300 Index of common stocks from 2001 through 2005 are tabulated as follows: Small-Capitalization Market Index of Year Stocks Common Stocks 1991 18.51% 12.02% 1992 13.01%-1.43% 1993 52.06% 32.56% 1994-9.21%-0.18% 1995 12.55% 14.53% (a) Calculate the average return for the small-capitalization stocks and the market index of common stocks (b) Calculate the variance and standard deviation of returns for the small-capitalization stocks and the market index of common stocks (c) Calculate the correlation between the returns for the small-capitalization stocks and the market index of common stocks. 2. Suppose you have invested only in two stocks, A and B. You expect that returns on the stocks depend on the following three states of economy: State of Economy Probability Return on Stock A (%) Return on Stock B (%) Bear 0.2 12.3-3.7 Normal 0.50....
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This note was uploaded on 06/21/2010 for the course ACTSC 5255 taught by Professor Tan,kens during the Spring '10 term at Waterloo.

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as372w10a2 - ActSc 372 Winter 2010 Assignment 2 Due Date:...

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