Calculate the average return and standard deviation

Assignment Help Applied Statistics

Reference no: EM132250679

Assignment - Risk & Return

Instructions - Show your work. No credit will be given for correct answer unless relevant work is shown.

Ex-post data -

Q1. You have the following information regarding rates of return for three stocks, X, Y, and Z:

Year	Rate of Return (%)
Year	Stock X	Stock Y	Stock Z
2012	10	18	4
2013	12	16	8
2014	18	10	14
2015	20	8	16
2016	25	4	20

a. Calculate the average return, standard deviation, coefficient of variation for each stock.

b. Calculate Cov_xy, Cov_xz, and Cov_yz. Also calculate ρ_xy, ρ_xz, and ρ_yz.

Ex-ante data -

2. You have the following information regarding rates of return for three stocks, A, B, and C:

Probability	Rate of Return (%)
Probability	Stock A	Stock B	Stock C
0.1	4	8	15
0.4	8	12	12
0.4	16	18	10
0.1	20	20	5

a. Calculate the expected rate of standard deviation, coefficient of variation for each stock.

b. Cov_ab, Cov_ac, and Cov_bc. Also calculate ρ_ab, ρ_ac, and ρ_bc.

Note - Carry your calculations to the 4^th place after the decimal points.

Reference no: EM132250679

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