19. Let x = percent return for an investment in stock 1 and y = percent return for aninvestment in stock 2. The expected return and variance for stock 1 are E(x) = 8.45%and Var(x) = 25. The expected return and variance for stock 2 are E(y) = 3.2% andVar(y) = 1. The covariance between the returns is -3. What is the correlationcoefficient for x and y?%3D%3D-.6O -.2-.8

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Answered: 19. Let x = percent return for an…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Suppose that index model for Stocks A and B is estimated from excess returns with the following results : Ra 0.04 +0.6Rm+ea , Rb = - 0.04 + 1.3Rm + eb Risk on the market is 30% , R-squared of A is 30%R - squared of B is 40% , security A residual variance is
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the covariance and the correlation coefficient between HD and ML?
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the covariance and the correlation coefficient between HD and ML? For portfolio P with investment proportion of 0.4 in HD and 0.6 in ML, calculate the systematic risk, non-systematic risk, and total risk of P.
Consider two assets, X and Y, with expected returns X = 14.5% and Y = 13.8% and with standard deviations X = 6.3% and Y = 6.7% for those returns. The two assets have a correlation, of -0.6. a. What is the covariance of the returns of stocks X and Y? In general, will constructing a portfolio from these two stocks reduce or increase the risk compared to the individual stocks? Briefly explain. b. What is the expected return and standard deviation of a portfolio made up of stocks X and Y which is 25% stock X (the remainder stock Y)? c. What is the expected return and standard deviation of a portfolio made up of stocks X and Y which is 50% stock X (the remainder stock Y)? *NOTE-show work/formulas used in EXCEL
If X has a mean μ and variance σ and Y = aX+b where a and b are constants: Find the mean, variance, and correlation coefficient between X and Y.
What is the Pearson's r correlation coefficient between two variables X and Y if their covariance is 150 and the standard deviation of X is 12 and the standard deviation of Y is 20?
If the Pearson correlation is measured between two variables X and Y and was - 0.56. This indicates that: Select one: a. X and Y medium correlation, and if X increases, Y will increase generally b. X and Y strong correlation, and if X increases, Y will increase generally c. X and Y strong correlation, and if X increases, Y will decrease generally d. X and Y medium correlation, and if X increases, Y will decrease generally
Assume the random variable X has a standard deviation of 4, the random variable Y has a standard deviation of 5 and the two random variables have a correlation of 0.6. What is the covariance of X and Y?
A dietitian wishes to see if a person’s cholesterol level will be changed if the diet is supplemented by a certain mineral. Four subjects were pre-tested, and they took the mineral supplement for a 6-week period. The results are shown in the table. Is there sufficient evidence to conclude that the population mean of cholesterol levels has been changed after six weeks at α=0.2α=0.2? Assume that the differences are from an approximately normally distributed population. Subject Cholestrol Level (mg/dl) Cholestrol Level after 6 Weeks (mg/dl) dd ¯dd¯ (d−¯d)2(d-d¯)2 1 206 217 11 2 219 184 -35 3 202 204 2 4 213 205 -8 Total -30 a) Calculate the mean, the sum of the squared deviation from the mean, and the standard deviation of differences. Do not include the unit for each answer: ¯d=d¯= (do not round) ∑(d−¯d)2=∑(d-d¯)2= (do not round) sd=sd= (rounded to one decimal place) b) Perform the hypothesis test in the following steps: Step 1.…
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the standard deviation of each stock? (Hint: βi = (ρiM σi) / σM.) What is the systematic risk of each stock?

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