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hi can you help me with question a,b,c and d pleasee show your calculation ..please no excel i don't understand :') 12. The (historical) returns
hi can you help me with question a,b,c and d pleasee show your calculation ..please no excel i don't understand :')
12. The (historical) returns of two stocks, Samsont and Costcut, over the past four years were: Samsont Costcut Year 1 5.00% 5.00% Year 2 9.00% -3.00% Year 3 -4.00% 5.00% Year 4 -2.00% 6.00% a) Based on the historical average return, calculate the expected return for each stock and the standard deviation of the returns on the two stocks. (6 marks) b) Investor A has 30% of her wealth invested in Samsont, the remaining in Costcut. Calculate the expected return and standard deviation of investor A's portfolio. (5 marks) c) Suppose that the correlation coefficient between Samsont and Costcut is different from what it is implied in part (b). i. Based on the expected returns and standard deviations of Samsont and Costcut you calculated in part (a), re-calculate the portfolio expected returns and standard deviations for each correlation coefficient given below. Assume the same weights, W, = 30% and W2 = 70%, as in part (b). 1) P12 = 1.00 ii) P12 = 0.5 iii) P12 = 0.00 iv) P12 = -0.5 Vp12 = -1.00 (6 marks) ii. Briefly comment on the results in part (ci). (3 marks) 12. The (historical) returns of two stocks, Samsont and Costcut, over the past four years were: Samsont Costcut Year 1 5.00% 5.00% Year 2 9.00% -3.00% Year 3 -4.00% 5.00% Year 4 -2.00% 6.00% a) Based on the historical average return, calculate the expected return for each stock and the standard deviation of the returns on the two stocks. (6 marks) b) Investor A has 30% of her wealth invested in Samsont, the remaining in Costcut. Calculate the expected return and standard deviation of investor A's portfolio. (5 marks) c) Suppose that the correlation coefficient between Samsont and Costcut is different from what it is implied in part (b). i. Based on the expected returns and standard deviations of Samsont and Costcut you calculated in part (a), re-calculate the portfolio expected returns and standard deviations for each correlation coefficient given below. Assume the same weights, W, = 30% and W2 = 70%, as in part (b). 1) P12 = 1.00 ii) P12 = 0.5 iii) P12 = 0.00 iv) P12 = -0.5 Vp12 = -1.00 (6 marks) ii. Briefly comment on the results in part (ci)Step by Step Solution
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