“Do not round intermediate calculations, only round final answers to two decimal points.” Table 1 Security Covariance A
Posted: Fri Apr 29, 2022 11:54 am
“Do not round intermediate calculations, only round
final answers to two decimal points.”
Table 1
Security
Covariance
A
B
C
D
A
B
C
D
E(R)
14%
16%
12%
13%
A
0.28
0.215
0.136
0.149
σ2
0..766
0.735
0.203
0.226
B
0.315
0.360
0.170
0.185
β
1.050
1.200
0.900
0.950
C
0.136
0.170
0.203
0.114
D
0.149
0.185
0.114
0.226
A. Using Table
1 calculate the proportions of Security A and B that
represent the minimum variance portfolio.
B. What is the beta for an
equally weighted portfolio of all four securities shown
in Table 1?
C. Using the data from Table 1, what is
the expected return and variance of a theoretical portfolio made up
of the following long and short positions in stocks A, B and
C? (Note calculations for variance should be done
based on Markowitz Theory)
D. Using Table 1, calculate the correlation
between Securities B and C, and between Securities D and
A.
final answers to two decimal points.”
Table 1
Security
Covariance
A
B
C
D
A
B
C
D
E(R)
14%
16%
12%
13%
A
0.28
0.215
0.136
0.149
σ2
0..766
0.735
0.203
0.226
B
0.315
0.360
0.170
0.185
β
1.050
1.200
0.900
0.950
C
0.136
0.170
0.203
0.114
D
0.149
0.185
0.114
0.226
A. Using Table
1 calculate the proportions of Security A and B that
represent the minimum variance portfolio.
B. What is the beta for an
equally weighted portfolio of all four securities shown
in Table 1?
C. Using the data from Table 1, what is
the expected return and variance of a theoretical portfolio made up
of the following long and short positions in stocks A, B and
C? (Note calculations for variance should be done
based on Markowitz Theory)
D. Using Table 1, calculate the correlation
between Securities B and C, and between Securities D and
A.