HW1 - 1 and R 2 ? R 2 and R 3 ? R 1 and R 3 ? 2. Download...

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Purdue University Krannert School of Management MGMT 411: INVESTMENTS Assignment #1 Due September 1, in class No late assignments will be accepted. 1. Consider the following situation in which you have 3 states (s1, s2, s3) and 3 securities (R 1 , R 2 , R 3 ): The probability of each state is given in the table. a) What is the expected return of each security? b) What is the standard deviation of the return of each security? c) What is the covariance between the returns of R
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Unformatted text preview: 1 and R 2 ? R 2 and R 3 ? R 1 and R 3 ? 2. Download the monthly historical prices of IBM from finance.yahoo for the period January 1, 2007 to December 31, 2010. a) Compute monthly realized returns for IBM for each month in the sample. b) What is the average monthly return of IBM in this sample period? c) What is the volatility of the monthly return of IBM in this sample period?...
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This note was uploaded on 02/06/2012 for the course MGMT 411 taught by Professor Clarke during the Spring '09 term at Purdue.

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