Arbor Systems and Gencore stocks both have a volatility of 30 % . Compute the volatility...
Arbor Systems and Gencore stocks both have a volatility of 30 % . Compute the volatility of a portfolio with 50 % invested in each stock if the correlation between the stocks is (a) plus 1.00 , (b) 0.50 , (c) 0.00 , (d) negative 0.50 , and (e) negative 1.00 . In which of the cases is the volatility lower than that of the original stocks?
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Arbor Systems and Gencore stocks both have a volatility of 30 %
. Compute the volatility...
Arbor Systems and Gencore stocks both have a volatility of 36%. Compute the volatility of a...
Arbor Systems and Gencore stocks both have a volatility of 36%. Compute the volatility of a portfolio with 50% invested in each stock if the correlation between the stocks is (a) +1.00, (b) 0.50, (C) 0.00, (d) - 0.50, and (e) - 1.00. In which of the cases is the volatility lower than that of the original stocks?
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is...
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is invested in eadh stock C) As the number of stocks in a portfolio grows large, the variance of the portfolio is determined primarily by the average covariance among the stocks D) When combining stocks into a portfolio that puts positive weight on each stock, unless...
Suppose that we have two securities available for investment. Both of them have 50% to receive...
Suppose that we have two securities available for investment. Both of them have 50% to receive a payoff of 0, and 50% to receive a payoff of 2. What is the expected payoff and what is the variance if we buy half a share of each? Answer this question for two cases: a) correlation between the stocks’ payoffs = -1; b) correlation = 1. A. The expected payoff of the portfolio is 1 in a) and 0.5 in b), but...
Suppose that we have two securities available for investment. Both of them have 50% to receive...
Suppose that we have two securities available for investment. Both of them have 50% to receive a payoff of 0, and 50% to receive a payoff of 2. What is the expected payoff and what is the variance if we buy half a share of each? Answer this question for two cases: a) correlation between the stocks’ payoffs = -1; b) correlation = 1. A. The expected payoff of the portfolio is 1 in a) and 0.5 in b), but...
A portfolio is comprised of equal weights of two stocks labeled Stock X and Stock Y....
A portfolio is comprised of equal weights of two stocks labeled Stock X and Stock Y. The covariance between Stock X and Stock Y is 0.10. The standard deviation of Stock X is 0.50, and the standard deviation of Stock Y is 0.50. Which of the following comes closest to the correlation coefficient between Stock X and Stock Y? O a. 0.40 b. 0.60 c. 0.00 O d. 0.50 o e. 1.00
please work all parts. 2. Stock A has expected return of 14% and volatility 30%. Stock...
please work all parts.
2. Stock A has expected return of 14% and volatility 30%. Stock B has expected return of 8% and volatility 19%. The correlation between two stocks is -0.2. The risk free interest rate is 4% (a) Find the expected returns, volatilities, and Sharpe ratios of portfolios that maintain 100.0% investment in Stock A and 100(1-x)% in Stock B, where x is given in the following table. Volatility Expected return Sharpe ratio 0.8 0.9 1.0 (b) How...
Problem #5 (12 Marks) You have a portfolio with a standard deviation of 30% and an...
Problem #5 (12 Marks) You have a portfolio with a standard deviation of 30% and an expected return of 18%. You are considering adding one of the two stocks in the table below to your portfolio. After adding the stock, you will have 20% of your money in the new stock and 80% of your money in your existing portfolio. A) Calculate the risk and return of a new portfolio with 20% invested in stock A and 80% in your...
The realized returns for stock A and stock B from 2004-2009 are provided in the table...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
Q1. You are allocating money equally among 400 stocks. You believe: i. All stocks have the same...
Q1. You are allocating money equally among 400 stocks. You believe: i. All stocks have the same levels of standard deviation at 40%; ii. All stocks have the same pair-wise correlation a. What is the standard deviation of a portfolio of 400 equally weighted stocks if the correlation is 0.0? (1 point) b. What is the standard deviation of a portfolio of 400 equally weighted stocks if the correlation is 0.8? (1 point) c. If you observe from the option market that the implied volatility...
Stocks offer an expected rate of return of 18%, with a standard deviation of 22%. Gold...
Stocks offer an expected rate of return of 18%, with a standard deviation of 22%. Gold offers an expected return of 10% with a standard deviation of 30%. In light of the apparent inferiority of gold with respect to average return and volatility, would anyone hold gold in his portfolio? Assume that the correlation between Stocks and Gold is -0.5. Find the weights wS and wG of the efficient risky portfolio which is invested in Stocks and Gold and which...
Arbor Systems and Gencore stocks both have a volatility of 36%. Compute the volatility of a portfolio with 50% invested in each stock if the correlation between the stocks is (a) +1.00, (b) 0.50, (C) 0.00, (d) - 0.50, and (e) - 1.00. In which of the cases is the volatility lower than that of the original stocks?
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is invested in eadh stock C) As the number of stocks in a portfolio grows large, the variance of the portfolio is determined primarily by the average covariance among the stocks D) When combining stocks into a portfolio that puts positive weight on each stock, unless...
A portfolio is comprised of equal weights of two stocks labeled Stock X and Stock Y. The covariance between Stock X and Stock Y is 0.10. The standard deviation of Stock X is 0.50, and the standard deviation of Stock Y is 0.50. Which of the following comes closest to the correlation coefficient between Stock X and Stock Y? O a. 0.40 b. 0.60 c. 0.00 O d. 0.50 o e. 1.00
please work all parts.
2. Stock A has expected return of 14% and volatility 30%. Stock B has expected return of 8% and volatility 19%. The correlation between two stocks is -0.2. The risk free interest rate is 4% (a) Find the expected returns, volatilities, and Sharpe ratios of portfolios that maintain 100.0% investment in Stock A and 100(1-x)% in Stock B, where x is given in the following table. Volatility Expected return Sharpe ratio 0.8 0.9 1.0 (b) How...
Problem #5 (12 Marks) You have a portfolio with a standard deviation of 30% and an expected return of 18%. You are considering adding one of the two stocks in the table below to your portfolio. After adding the stock, you will have 20% of your money in the new stock and 80% of your money in your existing portfolio. A) Calculate the risk and return of a new portfolio with 20% invested in stock A and 80% in your...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
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