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VCProblem

# VCProblem - What is the expected return on this portfolio 7...

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QUIZ 1 NAME_____________________________________________ 1. Assume the following: Probability Return on Stock 1 Return on Stock 2 Return on Stock 3 0.25 30 % 4 % 10% 0.35 10 4 20 0.40 -10 4 30 Find the Following: 1. Expected return on Stock 1 2. Expected return on Stock 2 3. Variance of the Return on Stock 1 4. Variance of the Return on Stock 2 5. Covariance between the Return on Stock 1 and Stock 2

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6. Suppose you form a portfolio consisting of 35% investment in stock 1 and the remaining in stock2.
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Unformatted text preview: What is the expected return on this portfolio 7. Write the VC matrix for computing the variance of the return on the above portfolio (i.e., in number 6). Do not make any numerical substitutions. 8. Make numerical substitutions for the different element of the VC matrix in problem (7) and compute the variance of the return on the portfolio 9. Provide the following current numbers a. Prime Rate b. Federal Funds Rate...
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