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Consider the following time-series observations on realized returns on the stocks of company A, and company B, as well as the returns on the market
Consider the following time-series observations on realized returns on the stocks of company A, and company B, as well as the returns on the market portfolio respectively. TB 70.5 -0.5% 1. Compute the mean and the standard deviation of these three assets. 2. Compute pmA the correlation coefficients between asset m and asset A, and pm,B the correlationn coefficients between asset m and asset B 3. Consider a portfolio-p with W, = 0.4 in stock A, w, = 1-0.4-0.6 in stock B. This portfolio would have generated an additional time series of historical returns Compute the beta of this portfolio, , by computing COv (r using data on p and 4, Estimate 84 and separately, and compute alternatively 5. Compare ; and .., comment very briefly
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