The variance of X is 0.36. The standard deviation of Y is 0.38. The correlation between the two is 0.01. What is the variance of a portfolio that invests -62.59% in X and the rest in Y? Note: Type -9 if the answer does not make sense.

When calculating the beta of security by running a simple regression in Excel, which of the following is NOT true? O The alpha or intercept coefficient in the output table measures by how much the security outperformed the market index, adjusted for risk. O The beta can be found in the X Variable coefficient cell in the output table. O The market index should be used as the 'dependent' variable Y. The returns for the security should be the 'independent' variable X. O If the R-Square in the output table is .20, that means that 20% of the variation in the dependent variable can be explained by variations in the independent variable.

The variance of expected returns is equal to the square root of the expected returns. a. True b. False

Consider a long-short portfolio. Beta of this portfolio is zero and its volatility is 20% . What is the portfolio-specific (unsystematic) variance of this portfolio

Consider two risky assets that have returns variances of 0.0625 and 0.0324, respectively. The assets' standard deviations of returns are then 25% and 1 8%, respectively. Calculate the variances and standard deviations of portfolio returns for an equal-weighted portfolio of the two assets when their correlation of returns is 1.

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Under the stop-loss reinsurance model, suppose the total claim follows exponential distribution with mean 1/λ. For given premium P, (a) Derive the retention level M; (b) Calculate the sum of shared variances Var(X*) + Var.X  

Assuming that the rates of return associated with a given asset investment are normally distributed; that the expected​ return, r​, is 18.7​%; and that the coefficient of​ variation, CV​, is 1.88​, answer the following​ questions:   a. Find the standard deviation of​ returns, sigma Subscript rσr. b. Calculate the range of expected return outcomes associated with the following probabilities of​ occurrence: (1)​ 68%, (2)​ 95%, (3)​ 99%.

1. Determine the expected return and the variance of the portfolio formed by the two assets S₁, S₂ with weights ₁ = 0.6, x2 = 0.4. The assets returns are described by the following scheme: scenario W1 2لا W3 probability 0.1 0.4 0.5 T1 -20% 0% 20% 12 -10% 20% 40%

Consider two stocks M and N with a standard deviation of 25% and 40% respectively. The returns of the two stocks are perfectly negatively correlated. Proportion of investment to be made in stock M for zero variance portfolio is____ a. 62% b. 38% c. 50% d. Cannot be determined