91 124 3 apr 06 057 577 156 125 1 may 06 093 463 705

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Unformatted text preview: 8 1-Aug-06 4.10% -1.21% 9.65% 129 1-Sep-06 4.29% 6.04% 0.13% 130 2-Oct-06 -0.55% 2.88% 2.75% 131 1-Nov-06 0.49% 2.32% -0.94% 132 1-Dec-06 6.07% 5.59% 2.32% 133 3-Jan-07 -3.19% 1.43% 1.40% 134 1-Feb-07 -2.42% -2.85% -2.15% 135 1-Mar-07 1.29% -6.90% -0.52% 136 2-Apr-07 4.16% 3.05% 2.50% 137 1-May-07 1.92% 2.59% -1.33% 138 1-Jun-07 2.57% 1.79% -3.78% 139 2-Jul-07 0.68% 1.21% 0.78% 140 6 E GENERAL ELECTRIC (GE), HOME DEPOT (HD), PROCTOR & GAMBLE (PG) #MACRO? #MACRO? Exercise 7 X -5 -4 -3 -2 -1 0 1 2 3 4 5 Y 25 16 9 4 1 0 1 4 9 16 25 Correlation(X,Y) 0 #MACRO? The two random variables X and Y are perfectly correlated, but have correlation coefficient (i.e., a measure of linear relation) of zero! Page 8 Exercise 8 A Expected return Variance of return Standard deviation of return Correlation Proportion of A B 3% 5% 0.0025 0.0045 0.05 0.067082 0.3 0.24 Portfolio expected return Portfolio standard deviation Proportion of A 4.520% 5.577% 5.577% 0 0.1 0.2 0.3 0.4 0.5 0.572949 0.7 0.8 0.9 1 ###...
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