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Author Question: Kurtosis is a statistic of a data set that describes the symmetry of the data. Indicate whether ... (Read 72 times)

awywial

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on: Jun 24, 2018
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

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Reply #1 on: Jun 24, 2018
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


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