Correlation coefficient, Applied Statistics

Assignment Help:

Consider three stocks A, B and C costing $100 each. The annual returns on the three stocks have mean $5 and variance $10.

a. Suppose that the returns on the three stocks are i.i.d.    Find the means and variance of the returns on Portfolio I, consisting of 3 units of A, and Portfolio II, consisting of 1 units each of A, B and C?

b. Suppose the returns from A and B have a correlation coefficient of -0.8 but they are uncorrelated with returns from C. Find the means and variances of the returns on the two portfolios.

c. Suppose the returns from A, B, and C are perfectly correlated (each pair have a correlation =1).  Find the means and variances of the returns on the two portfolios.  Is there any benefit to diversification in this case?


Related Discussions:- Correlation coefficient

Circul;atory ststistics Lab, What statistics can be obtained from a circula...

What statistics can be obtained from a circulatory lab?

Write out the estimator of the linear combination, Now, let's look at a dif...

Now, let's look at a different linear combination. Suppose we are interested n comparing the average mean log income for no college education ( 16). 1. Write out the linear com

Appropriate statistical test, I would like to know what the appropriate sta...

I would like to know what the appropriate statistical test is for investigating an association between a nominal variable and an ordinal variable assuming normal distribution? It''

Explain graph theory, For each of the following scenarios, explain how grap...

For each of the following scenarios, explain how graph theory could be used to model the problem described and what a solution to the problem corresponds to in your graph model.

Business staitistices- soltion to :, A file on DocDepot in the assignments ...

A file on DocDepot in the assignments folder on doc-depot called bmi.mtp contains data on the Body Mass Index (BMI) of a population of Ottawa residents. The first column identifies

Econometrics, implications of multicollinearity

implications of multicollinearity

Decision theory, 1. Definition of decision tree, 2. Feature of decision the...

1. Definition of decision tree, 2. Feature of decision theory problem

Regression, why we use dummy variable

why we use dummy variable

HLT 362, What is an interaction? Describe an example and identify the varia...

What is an interaction? Describe an example and identify the variables within your population (work, social, academic, etc.) for which you might expect interactions?

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd