Please solve it by hand or typing, don't use EXCEL.
Let E(r) be the expected return.
Now the E(r) is given by the following formula;
Here p(s) is the probability of return r(s).
Now, assuming probability of each out come in the same data set is same, we have;
Hence, E(r) = -0.063%
2. Let σ be the standard deviation
Hence, we have;
=(-16.97%-(-0.063%))2 + (-15.12%-(-0.063%))2 + (-22.47% - (-0.063%))2 + (32.12%-(-0.063%))2 + (11.82%-(-0.063%))2 + (4.34%-(-0.063%))2 + (11.4%-(-0.063%))2 + (2.63%-(-0.063%))2 + (-39.96%-(-0.063%))2 + (31.58%-(-0.063%))2 = 0.54919
3.
Sharpe ratio is defined as;
4 & 5.
Value at risk is the measure of loss with extreme negative returns.
For example, 10% VaR is the value below which 10% of the possible values of that distribution lies.
From the sample, we understand that there are 10 observation. Hence, 10% quantile of the observation is lowest retunt from the sample. I.e. 39.96%. Hence, 10% VaR of the sample is 39.96%.
Please solve it by hand or typing, don't use EXCEL. 1. The following data was downloaded...
Please solve it by hand or typing, don't use EXCEL. 1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the table?...
Please solve it by hand or typing, don't use EXCEL. 1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the table?...
Please solve it by hand or typing, don't use EXCEL . 1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the...
Please solve it by hand or typing, don't use EXCEL. 1. Suppose you have the expectations of the HPR on stock market as follows: State of Economy Recession Normal growth Expansion Probability 0.2 0.7 0.1 HPR -12% 8% 16% A. Compute the mean of HPR on stocks. (3pts) B. Compute the standard deviation of the HPR on stocks. (5pts)
Please solve it by hand or typing, don't use EXCEL. 1. Suppose you have the expectations of the HPR on stock market as follows: State of Economy Recession Normal growth Expansion Probability 0.2 0.7 0.1 HPR -12% 8% 16% A. Compute the mean of HPR on stocks. (3pts) B. Compute the standard deviation of the HPR on stocks. (5pts)
Please solve it by hand or typing, don't use EXCEL. 1. XYZ stock price and dividends history are as follows Year Beginning-of-year price Dividend paid at year- $100 $110 $90 $95 end $4 $4 $4 $4 2005 2006 2007 2008 An investor buys three shares of XYZ at the beginning of 2005, buys another two shares at the beginning of 2006, sells one share at the beginning of 2007, and sells all four remaining shares at the beginning of 2008....
Please solve it by hand or typing, don't use EXCEL. 1. XYZ stock price and dividends history are as follows Year Beginning-of-year price Dividend paid at year- $100 $110 $90 $95 end $4 $4 $4 $4 2005 2006 2007 2008 An investor buys three shares of XYZ at the beginning of 2005, buys another two shares at the beginning of 2006, sells one share at the beginning of 2007, and sells all four remaining shares at the beginning of 2008....