During a 20 year period, that standard deviation of annual returns on a portfolio John is analyzing was 8 percent He suspected that the portfolios underlying variance of return was less than 100 basis points He would like to construct a hypothesis test to validate his judgment Question A Formulate null and alternative hypothesis Question B Calculate the value of test statistic for conducting the test in part (a) Question C Identify the rejection point or points at the 5 significance level for the hypothesis in part (a) (Use excel functions for the rejection point) CHISQ DIST(x, degrees freedom, True False) CHISQ INV(probability, degrees freedom) NORM S DIST(z, True False) NORM S INV(probability) F DIST(x, degrees freedoml, degrees freedom2, True False) F INV(probability, degrees freedom1, degrees freedom2) T DIST(x, degrees freedom, True False) T INV(probability, degrees freedom) CHISQ DIST(x, degrees freedom, True False) CHISQ INV(probability, degrees freedom) NORM S DIST(z, True False) NORM S INV(probability) F DIST(x, degrees freedoml, degrees freedom2, True False) F INV(probability, degrees freedom1, degrees freedom2) T DIST(x, degrees freedom, True False) T INV(probability, degrees freedom)

The Answer is in the image, click to view ...

Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Aug 02, 2024

During a 20-year period, that standard deviation of annual returns on a portfolio John is analyzing was 8 percent. He suspected that the portfolios underlying

During a 20-year period, that standard deviation of annual returns on a portfolio John is analyzing was 8 percent. He suspected that the portfolios underlying variance of return was less than 100 basis points. He would like to construct a hypothesis test to validate his judgment.

Question A: Formulate null and alternative hypothesis.

Question B: Calculate the value of test statistic for conducting the test in part (a).

Question C: Identify the rejection point or points at the 5% significance level for the hypothesis in part (a). (Use excel functions for the rejection point)

image text in transcribed

CHISQ.DIST(x, degrees freedom, True/False) CHISQ.INV(probability, degrees_freedom) NORM.S.DIST(z, True/False) NORM.S.INV(probability) F.DIST(x, degrees_freedoml, degrees_freedom2, True/False) F.INV(probability, degrees_freedom1, degrees_freedom2) T.DIST(x, degrees_freedom, True/False) T.INV(probability, degrees_freedom) CHISQ.DIST(x, degrees freedom, True/False) CHISQ.INV(probability, degrees_freedom) NORM.S.DIST(z, True/False) NORM.S.INV(probability) F.DIST(x, degrees_freedoml, degrees_freedom2, True/False) F.INV(probability, degrees_freedom1, degrees_freedom2) T.DIST(x, degrees_freedom, True/False) T.INV(probability, degrees_freedom)