Using the data in the following table, and the fact that the correlation of A and B is 0.56, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B Realized Returns Year Stock A 2008 -6% 2009 12% 2010 7% 2011 -2% 2012 2% 2013 5% Stock B Question content area bottom 12% 35% 10% -2% -12% 33% Part 1 The standard deviation of the portfolio is %.

Using the data in the following table, and the fact that the correlation of A and B is 0.56, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B Realized Returns Year Stock A 2008 -6% 2009 12% 2010 7% 2011 -2% 2012 2% 2013 5% Stock B Question content area bottom 12% 35% 10% -2% -12% 33% Part 1 The standard deviation of the portfolio is %.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Using the data in the following table, and the fact that the correlation of A and B is 0.69, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B. Year 2008 2009 2010 2011 2012 2013 Realized Returns Stock A - 2% 11% 8% - 1% 1% 11% Stock B 18% 33% 6% - 8% - 6% 30% n The standard deviation of the portfolio is %. (Round to two decimal places.)
Using the data in the following table, and the fact that the correlation of A and B is 0.48, calculate the volatility (standard deviation) of a portfolio that is 70% invested in stock A and 30% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.) Year 2008 2009 2010 2011 2012 2013 Realized Returns Stock A - 10% 20% 5% - 5% 2% 9% Stock B 21% 30% 7% - 3% - 8% 25% The standard deviation of the portfolio is %. (Round to two decimal places.)
Using the data in the following table, and the fact that the correlation of A and B is 0.06, calculate the volatility (standard deviation) of a portfolio that is 70% invested in stock A and 30% invested in stock B. The return of stock A is ☐ %. (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Realized Returns Year Stock A Stock B 2017 15% 24% 2018 12% 22% 2019 9% 10% 2020 -4% -4% 2021 4% -3% 2022 11% 22%
Using the data in the following table, E, calculate the volatility (standard deviation) of a portfolio that is 55% invested in stock A and 45% in stock B. The volatility of the p Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year Stock A 2010 2011 2012 2013 2014 2015 -14% 11% 4% -10% 2% 12% Stock B 25% 33% 13% -3% -13% 26% Print Done - X
Using the data in the following table, calculate the volatility (standard deviation) of a portfolio that is 68% invested in stock A and 32% in stock B. The volatility of the portfolio is ☐ %. (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year 2010 2011 2012 2013 2014 2015 Stock A -6% 20% 3% - 1% 5% 15% Stock B 17% 4% 1% -1% - 12% 25% Print Done - ☑
Using the data in the following table, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% in stock B. The volatility of the portfolio is %. (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year Stock A Stock B 2010 2011 2012 2013 2014 2015 -10% 19% 4% -3% 5% 12% 19% 39% 24% -8% -8% 35% Print Done Х
Using the data in the following table,, estimate the: a. Average return and volatility for each stock. b. Covariance between the stocks. c. Correlation between these two stocks. Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year 2010 2011 2013 Stock A - 10% 20% - 5% Stock B 21% 7% - 3% 2012 5% 30% 2014 2% - 8% 2015 9% 25% I
Using the data in the following table, The average annual return for stock A is calculated the volatility (standard deviation) of a portfolio that is 35% invested in stock A and 65% invested in stock B. %. (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year Stock A 2010 2011 2012 2013 2014 2015 - 1% 5% 5% - 3% 5% 5% Stock B 30% 38% 20% - 2% - 5% 28% Print Done - ☑
Directions: Compute the returns, average of returns and standard deviation of the following stocks and the PSEI. 1. 2. AGI SM Year Stock Return x x (x--x)² Year Stock Return x x (x-x)² Price Price 30/1/2014 27.100 30/1/2014 704.500 28/2/2014 30.000 28/2/2014 694.000 31/3/2014 28.500 31/3/2014 705.000 30/4/2014 31.150 30/4/2014 725.000 30/5/2014 29.650 30/5/2014 786.000 30/6/2014 29.100 30/6/2014 816.000 31/7/2014 26.350 31/7/2014 797.000 29/8/2014 24.600 29/8/2014 772.000 30/9/2014 26.000 30/9/2014 803.500 31/10/2014 25.300 31/10/2014 783.500 28/11/2014 24.800 28/11/2014 804.500 29/12/2014 22.550 29/12/2014 815.000 PSEI Year Stock Return x X (x-X)? 30/6/2014 6,844.31 Price 31/7/2014 6,864.82 30/1/2014 6,041.19 29/8/2014 7,050.89 3. 28/2/2014 6,424.99 30/9/2014 7,283.07 31/10/2014 7,215.73 31/3/2014 6,428.71 28/11/2014 7,294.38 30/4/2014 6,707.91 29/12/2014 7,230.57 30/5/2014 6,647.65
From the following information, calculate covariance between stocks A and B and expected return and risk of a portfolio in which A and B are equally weighted.Which stock would be recommend if investment in individual stock is to be made? Justify answer using numerical calculations. Stock A Stock B Expected return 24% 35% Standard deviation 12% 18% Coefficient of correlation 0.65 0.65
To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%) State of the economy High growth Moderate growth Recession Weight of stock A Weight of stock B Probability of occurrence 30% 25% 45% Expected return on stock A in this state 38.5% 17.5% -5.5% % % Expected return on stock B in this state 55.5% 25.5% -15.5%
PLEASE EXPLAIN HOW ANSWERS WERE FOUND Using the data in the following table,calculate the volatility (standard deviation) of a portfolio that 54% is invested in stock A and 46% in stock B.

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