Tutorial 8 01-02-10

Tutorial 8 01-02-10 - utorial T 8Workshop Monday1...

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Tutorial      8 – Workshop       Monday 1     st     February, 2010     ECMT1020 - Business and Economic Statistics B Aim: To enable students to perform portfolio management analysis. Instructions: 1. Complete the "Learning the Concepts" questions BEFORE attending your workshop. (The questions will be reviewed in class) 2. The "Applying the Concepts" the questions will be done in workshop. 3. Complete the "Review Questions" after attending your workshop. These questions are in multiple choice format and are posted on blackboard. Learning the Concepts Questions One, Two and Three refer to the following table: Prob X Y 0.1 2 7 0.3 3 6 0.2 5 3 0.2 8 3 0.2 9 2 Question 1 (a) Calculate the expected value and variance of X. (b) Calculate the expected value and variance of Y. Question 2 (a) Calculate E(X+Y) (b) Calculate the covariance between X and Y.
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(c) Calculate V(X+Y) Question 3 Calculate the E(P) and σ p for a portfolio of X and Y with (a) 70% X (b) 50% X (c) 20% X Applying the Concepts Question 4 Closing Price ($AUD) Date NAB BHP Mar 2002 34.170 11.400 Jun 2002 35.400 10.300 Sep 2002 33.480 9.050 Dec 2002 31.750 10.150 Above are the closing share prices for National Australia Bank Ltd and for BHP Billiton Pty Ltd, every three months, over 2002. (a) Calculate the expected value and variance of the NAB shares in 2002 (b) Calculate the expected value and variance of the BHP shares in 2002 (c) Calculate the covariance between NAB and BHP shares in 2002, assuming an equal holding of both. (d)
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This note was uploaded on 11/02/2010 for the course ECMT 1020 taught by Professor Bo during the Three '10 term at University of Sydney.

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Tutorial 8 01-02-10 - utorial T 8Workshop Monday1...

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