投资14.15.pptVIP

18. Calculate the covariance and correlation coefficient between the two investments. 分析： 因为： 19.Calculate correlation coefficient (P154) 对角线上为标准差的平方 24. Consider two securities, A and B, with expected returns of 15% and 20%, standard deviations of 30% and 40%. Calculate the standard deviation of a portfolio weighted equally between the securities if their correlation is : a. 0.9 b. 0.0 c. -0.9 25. Listed here are securities of the standard deviations and correlation coefficients for three stocks. a. if a portfolio is composed of 20% of stock A and80% of stock C, what is the portfolio’s standard deviation? b. if a portfolio is composed of 40% of stock A, 20% of stock B, and 40% of stock C, what is the portfolio’s standard deviation? c. if you were asked to design a portfolio using stocks A and B, what percentage investment in each stock would produce a zero standard deviation ? Table 6.4 又 * 14、Squeaky Bluege has been considering an investment in Oskdale Merchandising. Squeaky has estimated the following probability distribution of returns for Oskdale stock: On the basis of Squeaky’s estimates , calculate the expected return and standard deviation of Oskdale stock. Expected return=X1r1+X2r2+….+Xnrn（书151页6.3a) =(－10%)×0.10+0×0.25+10%×0.40+20%×0.20+30%×0.05 =8.5% Standard deviation=﹛P1[W1-E(W)] 2+P2 [W2-E(W)] 2+….Pn [Wn-E(W)] 2﹜? (P1+P2+….+Pn=1) =[0.10×(－10%-8.5%) 2+0.25×(0-8.5%) 2+0.40×(10%-8.5%) 2+0.20×(20%-8.5%) 2+0.05×(30%-8.5%) 2] ? =10.13% 15、The expected returns and standard deviations of stocks A and B are: Mox McQuery buys ＄20,000 of stock Aand sells short ＄10,000 of stock B,using all of the proceeds to buy more of stock A . The correlation between the two securities is 0.25. What are the expected return and standard deviation of Mox’sportfolio? Expected return=X1r1+X2r2+….+Xnrn =1.5×13%+(-0.5）×5% =17% Standard deviation=δp =[X1X1δ11+X1X2δ12+X2X1δ21+X2X2δ22] ? δij=ρij×δi×δj ρ=0.25 =[X12×ρ×δ12+2X1X2×ρ×δ1×δ2+X22×ρ×δ22] ? δp=[1