Am. 111. State ofEconomyBustBoomProbability ofState of Economy0.400.60Security Returns ifState OccursRollRoss-11%2215%5Calculate the standard deviations for Roll and Ross by filling in the following table:Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round youranswers to 4 decimal places.State ofEconomyProbabilityof State ofEconomyReturnDeviation fromExpectedReturnSquaredReturnDeviationProductRollBust0.40Boom0.60RossBustBoom0.400.60-0.04000.0016σ²=Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.RollRossStandardDeviations9.74 %6.55 %

Security return if state occursState of economyProbability of state of the…

State of Economy Bust Boom Probability of State of Economy 0.40 0.60 Security Returns if State Occurs Roll -11% 22 Ross 15% 5 Calculate the standard deviations for Roll and Ross by filling in the following table: Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Rou answers to 4 decimal places. State of Economy Roll Probability of State of Economy Return Deviation from Squared Expected Return Return Deviation Product

State of Economy Bust Boom Probability of State of Economy 0.40 0.60 Security Returns if State Occurs Roll -11% 22 Ross 15% 5 Calculate the standard deviations for Roll and Ross by filling in the following table: Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Rou answers to 4 decimal places. State of Economy Roll Probability of State of Economy Return Deviation from Squared Expected Return Return Deviation Product

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Consider the following data for a dependent variable y and two independent variables, x1 and 12. 30 12 94 47 10 109 25 18 112 51 16 178 40 94 51 19 175 75 171 36 12 118 59 13 143 77 17 212 Round your all answers to two decimal places. Enter negative values as negative numbers, if necessary. a. Develop an estimated regression equation relating Y to ¤1. Predict y if æ1 = 35. b. Develop an estimated regression equation relating y to x2. ŷ = + Predict y if x2 = 25. ŷ = c. Develop an estimated regression equation relating y to ¤1 and 2. Predict y if x1 = 35 and x2 = 25. ŷ =
Suppose two asset returns are described by a two factor model, n = 0% + 11 + 1.82 + e1 2 = -1% + 2/1 + 0.52 + e2 where the volatility of first factor is 30%, the volatility of the second factor is 10%, and the correlation between the two factors is 0.5. Suppose also that the volatilities of the error terms ej and ez are both 10%. What is the covariance of n and r2 ? (Nearest 0.0001).
2. In the quantity Lecture, Un certainty for we discuss the Scenario A and scenario B. In this problem же positive study scenario C, namely, have 712 78 S $2 $3 नत 2 글 2 Q 1 · 0.6 1.5 0.8 S and and Q Correlation. : (F = 2.5). いつ Calculate Standard 4* and the deviation of **. (37 If we Set H= 1, calculate the Corresponding standard deviation of II,
Example 3 Inns oont alafrA Following Example 2, consider a porfolio with three assets S1, S2 and S3 which have expected rates of return 0.1,0.15 and 0.2 respectively, and variance-covariance matrix odni tanoma bszt a aitevi ot botoly 0.1 0.1 -0.1 0.1 0.2 0.1 ololles V = -0.1 0.1 0.6 vo ) isaas sod slais a at gaiteoo ottg ndi oda vodT (aldanoitesup als ot-lais wod ibuadala abnod on a) What is the optimal portfolio when up = worod of sidad = 0.2. adt yhalinie ini ba moe ja SOLUTION lo ano ot b) Use this piece of information and the earlier optimal portfolios from la aao e. Example 2 to find the quadratic equation relating of and up. ni bstni sd SOLUTION tar oad o bo s e) Hence draw a plot of the solutions, and identify the frontier port- Ldon to slar folios. it SOLUTION ods Btvni gatela dt
Use the following returns for X and Y. Returns Year X Y 1. 21.8% 26.4% 2. -16.8 -3.8 3. 9.8 28.4 4. 19.8 -14.6 5. 4.8. 32.4 a. Calculate the average returns for X and Y. (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. Calculate the variances for X and Y. (Do not round intermediate calculations and round your answers to 6 decimal places, e.g., 32.161616.) c. Calculate the standard deviations for X and Y. (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.)
Use the following returns for X and Y. Year 12345 Returns X 21.6% -16.6 9.6 19.2 4.6 Y 25.8% -3.6 27.8 -14.2 31.8 a. Calculate the average returns for X and Y. Note: Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16. a. Average return b. Variance c. Standard deviation b. Calculate the variances for X and Y. Note: Do not round intermediate calculations and round your answer to 6 decimal places, e.g., .161616. c. Calculate the standard deviations for X and Y. Note: Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16. X % % % %
The Simple Exponential Smoothing (SES) forecast with an alpha of 25 for period 4 is: (round to 2 decimal places) Absolute Absolute Percent Error Squared Error Naive X(Period) Y(Sales) Forecast Error Error 14 15 3 15 41 10 15 12 Your Answer:
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5. Change the following linear gradient series into a geometric gradient series by determining the unknown CFs if i = 4%/year. $85 $40 $55 $70 0 1 2 3 V₁ = $52.3 V₁ = $68.37 V₁ = $89.39 $40 V₁ 0 1 2 3
Consider an investment with the following probability distribution: Probability Payoff 0.35 38.0 % 0.40 -5.0 0.25 -17.0 Calculate the expected return. Do not round intermediate calculations. Round your answer to two decimal places. _______ % Calculate the standard deviation. Do not round intermediate calculations. Round your answer to two decimal places. _______ % Calculate the coefficient of variation. Do not round intermediate calculations. Round your answer to two decimal places. _______
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The following table illustrates the regression results from regressing monthly IBM excess returns on monthly S&P 500 excess returns. Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations Intercept Excess Market 0.517 0.268 ANOVA O 0.264 Regression Residual Total O 0.422 0.517 0.268 0.264 0.080 180.000 df 1.000 178.000 179.000 Coefficients 0.001 1.120 SS MS 0.422 0.422 1.153 0.006 1.575 What is the estimated correlation between excess IBM and market returns? F 65.085 Standard Error t Stat P-value 0.006 0.237 0.813 0.139 8.068 0.000 Significance F 0.000

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