Question

A. Compute the mean return and variance of return for each stock in Problem 1 using
(1) The single-index model
(2) The historical data
In Problem 1
B. Compute the covariance between each possible pair of stocks using
(1) The single-index model
(2) The historical data
C. Compute the return and standard deviation of a portfolio constructed by placing one-third of your funds in each stock, using
(1) The single-index model
(2) The historical data
D. Explain why the answers to parts A.1 and A.2 were the same, while the answers to parts B.1, B.2, and C.1, C.2 were different.


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  • CreatedJune 10, 2015
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