Finance_412_Assignment_Answers_Final[b] - FINA 412...

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FINA 412 Assignment 2 Each question carries 1 mark Write your final answers on paper and hand them in class. Drop off your Excel worksheets in the drop box on First Class. I. You wish to form a portfolio using 5 stocks whose returns are normally distributed with the following means and standard deviations. Given below are also the mean and standard deviation of market returns and the correlation of returns among the stocks and the market. Mean Standard Deviation Market 12% 20% Stock A 25% 40% Stock B 22% 35% Stock C 18% 25% Stock D 10% 15% Stock E 6% 4% The correlation of returns among the 5 stocks and the market are as follows: Market Stock A Stock B Stock C Stock D Stock E Market 1 Stock A 0.85 1 Stock B 0.80 0.70 1 Stock C 0.75 0.65 0.70 1 Stock D 0.40 0.30 0.20 0.20 1
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Stock E 0.20 0.10 0.10 0.10 0.40 1 Set the number of iterations to 10,000 and sampling method to Latin Hypercube. 1. Suppose you form a portfolio using stocks A to E using weights 0.4, 0.3, 0.2, 0.05, and 0.05 respectively. What is the expected return on your
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Finance_412_Assignment_Answers_Final[b] - FINA 412...

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