Question
What is the variance of A? What is the variance of B? What is the variance of C? What is the variance of D? What
What is the variance of A?
What is the variance of B?
What is the variance of C?
What is the variance of D?
What is the Correlation (A,A)?
What is the Correlation (B,B)?
What is the Correlation (C,C)?
What is the Correlation (D,D)?
What is the Covariance (A,A)?
What is the Covariance (A,B)?
What is the Covariance (A,C)?
What is the Covariance (A,D)?
What is the Covariance (B,A)?
What is the Covariance (B,B)?
What is the Covariance (B,C)?
What is the Covariance (B,D)?
What is the Covariance (C,A)?
What is the Covariance (C,B)?
What is the Covariance (C,C)?
What is the Covariance (C,D)?
What is the Covariance (D,A)?
What is the Covariance (D,B)?
What is the Covariance (D,C)?
What is the Covariance (D,D)?
What is the expected return on the portfolio above?
What is the variance on the portfolio above?
What is the standard deviation on the portfolio above?
Create a portfolio using the four stocks and information below: Expected Return Stock A Stock B Stock C Stock D 15.00% 7.00% 20.00% 18.00% Standard Deviation 19.00% 11.00% 15.00% 39.00% Weight in Portfolio 17.00% 13.00% 21.00% 49.00% 0.6100 0.9600 0.0800 Correlation (A,B) Correlation (A,C) Correlation (A,D) Correlation (B,C) Correlation (B,D) Correlation (C,D) 0.3900 0.4100 0.2700 (Do not round intermediate calculations. Record your answers in decimal form and round your answers to 4 decimal places. Ex. X.XXXX)
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Applied Quantitative Finance
Authors: W.; T. Kleinkow; G. Stahl Hardle
1st Edition
3540434607, 978-3540434603
