Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You have been following a stock for 6 months and the following is its past return Year 1: -5% Year 2: -10% Year 3: 15%

  1. You have been following a stock for 6 months and the following is its past return

Year 1: -5%

Year 2: -10%

Year 3: 15%

Year 4: 5%

Year 5: 10%

Year 6: 15%

  1. What is the expected return and standard deviation of the stock based on the historical data?
  2. Assume normal distribution, what is VaR at 5% for this stock?
  3. What is the Sharpe ratio of the stock based on historical data, risk free rate is 1%?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Dimensions Of Marketing Decisions

Authors: David W. Stewart

1st Edition

3030155641,303015565X

More Books

Students also viewed these Finance questions

Question

5. This question is about disjoint set. (20%) G H M T S Z W

Answered: 1 week ago