Question

e. Figure 1 depicts the expected returns and standard deviations for five assets. Which assets are not dominated by any other asset?

Expected Return Risk (Standard Deviation) Figure 1: Plot for Question 1.e. g. A stock earned annual returns of 10%, 3%, and 12% over three consecutive years. During the same time period, market returns were 5%, 12%, and 8%. What was the correlation between the stock and market returns during this time period? Round your answer to three decimal places. h. Assume that the correlation between a stock's returns and market returns is 0.89, and the standard deviation of returns for the stock and the market index are 21% and 18%, respec- tively. What is the stock's beta? Round your answer to two decimal places. i. A stock earned annual returns of 2%, 2%, 14%, and 8% over four consecutive years. During the same time period, the annual market returns were 2%, 8%, 9%, and 2%, respectively. What is the stock's beta? Round your answer to three decimal places.

Please answer E, G, H, I. Show work where you can so I can better understand the solution.

Thanks.

Answer 1

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F Calculation of coorclation coefficient between Stock and market returns. Correlation coeffi cient = Covaciance Calculation of coralance Stock 10% 3% 124 Market 5% 12% 8% S-5 0.017 (0.053 6.037 More Co.633) 0.000561 01037 0.001961 Co.0032 0.00011 0.002 682 27 = o.or} Covaciance = 0.000878100 calculation of standard deviation of stock & Market S-5 6-52 MH 4 H ² 0014 0.000289 (0.033 0.00logg co:65) 0-002809 20.037 0.001369 0.037 0.001362 Co.003) 0-000001 0.006 467 / 0.002464 = 0.000822 = 0-1489% 00087 (0-000822) (0.001429) Corelation - 7-10 / Coefficient