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 of 35% for individual stock, but 21% for the 400 equally weight portfolio, what is the implied pair-wise correlation between stocks? (2 points)
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Q1. You are allocating money equally among 400 stocks. You
believe:
i. All
stocks have the same...
You are forming an equally weighted portfolio of stocks. Many stocks have the same beta of...
You are forming an equally weighted portfolio of stocks. Many stocks have the same beta of 0.84 for Factor 1 and the same beta of 1.69 for Factor 2. All stocks also have the same expected return of 11 percent. Assume a two-factor model describes the return on each of these stocks. a) Write the equation of the returns on your portfolio if you place only five stocks in it. b) Write the equation of the returns on our portfolio...
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...
Assume a market index represents the common factor and all stocks in the economy have a...
Assume a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 43%. Suppose an analyst studies 20 stocks and finds that one-half have an alpha of 2.4%, and one-half have an alpha of –2.4%. The analyst then buys $1.5 million of an equally weighted portfolio of the positive-alpha stocks and sells short $1.5 million of an equally weighted portfolio of the negative-alpha stocks. a....
Assume a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 31%. Suppose an analyst studies 20 stocks and...
Assume a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 31%. Suppose an analyst studies 20 stocks and finds that one-half have an alpha of 2.0%, and one-half have an alpha of –2.0%. The analyst then buys $1.1 million of an equally weighted portfolio of the positive-alpha stocks and sells short $1.1 million of an equally weighted portfolio of the negative-alpha stocks. a....
Thank you... Using the data from the table what is the volatility of an equally weighted...
Thank you...
Using the data from the table what is the volatility of an equally weighted portfolio of Alaska Air (ALK), Kellogg (K), and Microsoft (MSFT) stock? Hint Make sure to round all intermediate calculations to at least four decimal places. The volatility of an equally weighted portfolio of the three stocks is %. (Round to two decimal places.) Data Table (Click on the following icon in order to copy its contents into a spreadsheet.) General Mills 179% Historical Annual...
Assume the return on a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-sp...
Assume the return on a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 47%. Suppose an analyst studies 20 stocks and finds that one-half have an alpha of 4.5%, and one-half have an alpha of –4.5%. The analyst then buys $1.5 million of an equally weighted portfolio of the positive-alpha stocks and sells short $1.5 million of an equally weighted portfolio of the...
Assume the return on a market index represents the common factor and all stocks in the...
Assume the return on a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 47%. Suppose an analyst studies 20 stocks and finds that one-half have an alpha of 4.5%, and one-half have an alpha of –4.5%. The analyst then buys $1.5 million of an equally weighted portfolio of the positive-alpha stocks and sells short $1.5 million of an equally weighted portfolio of the...
Assume you have N stocks σ2=16. Correlations between each pair of stocks is rho = 0.125...
Assume you have N stocks σ2=16. Correlations between each pair of stocks is rho = 0.125 = 1/8 a. what would be pairwise covariances? b. what would be the variance of an equally weighted portfolio of N stocks? c. Using excel calculate the variance you found in the portfolio in part b for N=1,2,3...30 stocks and plot it d. Find the percentage of the total portfolio variance coming from pairwise covariances and plot as a function of N for N=1,2,3...30
Click the photo to see full information and questions. The picture shows all the information that...
Click the photo to see full information and questions.
The picture shows all the information that was given to
me....??♀️ strike price is shown in the pic.....
CLISSOLD INDUSTRIES OPTIONS Tou are currently working for Clissold Industries. The company, which went public years ago, engages in the design, production, and distribution of lighting equipment an specialty products worldwide. Because of recent events, Mal Clissold, the company dent, is concerned about the company's risk, so he asks for your input. In...
Assume the return on a market index represents the common factor and all stocks in the...
Assume the return on a market index represents the common factor
and all stocks in the economy have a beta of 1. Firm-specific
returns all have a standard deviation of 50%.
Suppose an analyst studies 20 stocks and finds that one-half have
an alpha of 4.6%, and one-half have an alpha of –4.6%. The analyst
then buys $1.2 million of an equally weighted portfolio of the
positive-alpha stocks and sells short $1.2 million of an equally
weighted portfolio of the...
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...
Thank you...
Using the data from the table what is the volatility of an equally weighted portfolio of Alaska Air (ALK), Kellogg (K), and Microsoft (MSFT) stock? Hint Make sure to round all intermediate calculations to at least four decimal places. The volatility of an equally weighted portfolio of the three stocks is %. (Round to two decimal places.) Data Table (Click on the following icon in order to copy its contents into a spreadsheet.) General Mills 179% Historical Annual...
Click the photo to see full information and questions.
The picture shows all the information that was given to
me....??♀️ strike price is shown in the pic.....
CLISSOLD INDUSTRIES OPTIONS Tou are currently working for Clissold Industries. The company, which went public years ago, engages in the design, production, and distribution of lighting equipment an specialty products worldwide. Because of recent events, Mal Clissold, the company dent, is concerned about the company's risk, so he asks for your input. In...
Assume the return on a market index represents the common factor
and all stocks in the economy have a beta of 1. Firm-specific
returns all have a standard deviation of 50%.
Suppose an analyst studies 20 stocks and finds that one-half have
an alpha of 4.6%, and one-half have an alpha of –4.6%. The analyst
then buys $1.2 million of an equally weighted portfolio of the
positive-alpha stocks and sells short $1.2 million of an equally
weighted portfolio of the...
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