Consider a hypothetical example involving the monthly returns of a stock over a two-year period. Calculate...

 

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Consider a hypothetical example involving the monthly returns of a stock over a two-year period. Calculate the semi-variance below a specific threshold (let's use zero) for this stock. January February Year 1 -2% 3% Year 2 -1% 2% March April May June July August September October November December -1% -4% 1% -3% -2% 0% 2% -1% 3% -2% -1% -3% 4% 1% 0% -2% 3% -1% 2% -2% A) Calculate the semi-variance for the monthly returns, and the threshold of zero (negative returns) for each year separately. Consider a hypothetical example involving the monthly returns of a stock over a two-year period. Calculate the semi-variance below a specific threshold (let's use zero) for this stock. January February Year 1 -2% 3% Year 2 -1% 2% March April May June July August September October November December -1% -4% 1% -3% -2% 0% 2% -1% 3% -2% -1% -3% 4% 1% 0% -2% 3% -1% 2% -2% A) Calculate the semi-variance for the monthly returns, and the threshold of zero (negative returns) for each year separately.

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The semivariance is defined as the variance of only the negative returns In o... View the full answer