Answered step by step
Verified Expert Solution
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%
- 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%
- What is the expected return and standard deviation of the stock based on the historical data?
- Assume normal distribution, what is VaR at 5% for this stock?
- 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
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started