Author Question: Kurtosis is a statistic of a data set that describes the symmetry of the data. Indicate whether ... (Read 98 times)

awywial

  • Hero Member
  • *****
  • Posts: 577
Kurtosis is a statistic of a data set that describes the symmetry of the data.
 
  Indicate whether the statement is true or false

Question 2

Continue to assume that the returns of the four stocks are no longer independent of one another, and the correlations between all pairs of stock returns are as given in the second question.
 
  Now, suppose that this investor decides to place 20,000 each in stocks B and D, and 10,000 each in stocks A and C. Find the mean and standard deviation of the total amount that this investor earns in one year from these four investments.



Sweetkitty24130

  • Sr. Member
  • ****
  • Posts: 291
Answer to Question 1

FALSE

Answer to Question 2

Covariances between stock returns (variances of stock returns are on the diagonal):
Stock A Stock B Stock C Stock D
Stock A 0.0025 0.0018 0.0012 -0.0017
Stock B 0.0018 0.0049 0.0013 -0.0013
Stock C 0.0012 0.0013 0.0009 -0.0014
Stock D -0.0017 -0.0013 -0.0014 0.0036

Weights (top row, left column) and values for calculating portfolio variance:
10,000 20,000 10,000 20,000
10,000 250000 350000 120000 -330000
20,000 350000 1960000 252000 -504000
10,000 120000 252000 90000 -270000
20,000 -330000 -504000 -270000 1440000

Summary measures of portfolio:
Mean 9,900.00
Variance 2976000
StDev 1,725.11



Related Topics

Need homework help now?

Ask unlimited questions for free

Ask a Question
 

Did you know?

Symptoms of kidney problems include a loss of appetite, back pain (which may be sudden and intense), chills, abdominal pain, fluid retention, nausea, the urge to urinate, vomiting, and fever.

Did you know?

Common abbreviations that cause medication errors include U (unit), mg (milligram), QD (every day), SC (subcutaneous), TIW (three times per week), D/C (discharge or discontinue), HS (at bedtime or "hours of sleep"), cc (cubic centimeters), and AU (each ear).

Did you know?

After 5 years of being diagnosed with rheumatoid arthritis, one every three patients will no longer be able to work.

Did you know?

There are 60,000 miles of blood vessels in every adult human.

Did you know?

Lower drug doses for elderly patients should be used first, with titrations of the dose as tolerated to prevent unwanted drug-related pharmacodynamic effects.

For a complete list of videos, visit our video library