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KIC000024

# KIC000024 - Finance 320 Problem Set#3 Consider the...

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Finance 320 Problem Set#3 Consider the following matrices: C=[ 5 -2] -1 9 1. If possible, find A + B. Find B + e. Find B - e. 2. Find zc, 3. What is the dimension of A? Find A', the transpose of A. What is the dimension of A'? 4. Ifpossible, find the product BA. Find the product AB. Find the product Be. Find the product ABC. You wish to combine three stocks, X, Y, and Z, into a portfolio with 50% in X, 30% in Y, and 20% in Z. Return and covariance data on these three stocks is organized into matrices below. [ 100 -7 -48J E= -7 144 25 -48 25 225 5. What is the standard deviation of Stock X, Stock Y, and Stock Z? Is Stock X positively or negatively correlated with Stock Z? What about X and Y? What about Y and Z? 6. What is the dimension of the weight vector w? Find the transpose w' of the weight vector w. What is the dimension of w'? 7. Find the expected return on your three-stock portfolio by finding the product w'R. 8. Find the variance of your three-stock portfolio by finding the product w'Ew. What is the standard deviation of your portfolio?

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