# Question

A. If the Blume adjustment equation is fit and the appropriate equation is

βit + 1 = 0.41 + 0.60 βi, t

What is your best forecast of beta for each of the stocks in Question 1?

B. If the parameters of the Vasicek technique are fit, and they are

βit + 1 = 0.41 + 0.60 βi, t

What is your best forecast of beta for each of the stocks in Question 1?

B. If the parameters of the Vasicek technique are fit, and they are

## Answer to relevant Questions

Given the preceding data and the fact that Calculate the following: (a) The mean return for each security (b) The variance of each security’s return (c) The covariance of returns between each security Complete the procedure in Appendix A for reducing a general three-index model to a three-index model with orthogonal indexes. Given the following data:σ2m = 10 What is the optimum portfolio assuming no short sales if RF = 5%? Consider the following two investments. Which is preferred if the utility function is U(W) = -W - 0.04W2? Using geometric mean, which investment is preferred in Problem 11? In Problem 11Post your question

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