Stock A has the following returns over the past periods. Calculate the downside risk measured by semi-variance? (answer with 4 decimal spaces) 0.0057 -0.0255 0.0621 -0.0879 -0.0983 0.0813 0.0356 -0.0015 -0.0307 0.0427 0.0297 0.0192

The last four years of returns for a stock are as shown here: a. What is the average annual return? b. What is the variance of the stock's returns? c. What is the standard deviation of the stock's returns? Note: Notice that the average return and standard deviation must be entered in percentage format. The variance must be entered in decimal format.

QUESTION 1 Under which of the following scenarios, the minimum variance portfolio that contains two stocks has the smallest standard deviation? OA. The correlation between the two stock returns is -1 OB. The correlation between the two stock returns is -0.2 OC. The correlation between the two stock returns is 0.2 OD. The correlation between the two stock returns is 0.5

The variance ratio (VR) can be used to determine whether returns satisfy the efficient market hypothesis (EMH). Let n = 5 and r5,t be the five period log return at time t, where t = 1, 2,..., T. 1. Express (r5,t — Ã5) in terms of deviations of the relevant one period log returns from their respective means. Denote 75 to be the mean of the five period log return.

am. 311.

Q3. Find the Expected Return, Variance, and Standard Deviation for the Stock Returns 1 and 2. Also, you are requested to find the Covariance and Coefficient of Variation with the following information. Probability Stock - 1 Stock - 2 42% 09% 01% 0.22 04% 39% 0.05 38% 47% 31% 41% 18%

Which of the following statements regarding standard deviation is TRUE:   Group of answer choices   A measure of the dispersion of a random variable   The annualised volatility   The square root of volatility   Always expressed in %

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The following table has expected returns and variance-covariance of five stocks.             The T-Bill rate is 3.                                                       Variance-Covariance                   Returns   V F GM WMT Y           V 27.226   588.659 -275.078 -319.948 -36.805 -93.170           F 11.653   -275.078 5716.621 22.772 56.588 52.187           GM 4.633   -319.948 22.772 729.510 569.730 -258.506           WMT 12.905   -36.805 56.588 569.730 932.361 367.376           Y 6.908   -93.170 52.187 -258.506 367.376 1466.966           T-Bill 3.000                                                 questions                         a) determine the Tangency portfolio weights and calculate its expected return, standard deviation and Sharpe Ratio. Assume short sales are allowed. Write the equation of risk-return relations.                   b) determine the Tangency portfolio and calculate its expected return, standard deviation and Sharpe Ratio assuming…

Which of the following statements are correct? I.The standard deviation is a measure of risk.II.The variance of yearly returns is roughly the variance of monthly returns multiplied with 12.III.To decide whether asset A is more risky than asset B we can either use their standard deviations or their variances.     Group of answer choices II and III only I, II and III I and II only I and III only