Use the table below for Questions 12-20

12. (5 points) Given the prices of stock X and stock Y, find the expected return on stock X for the period 2002-2004

A. 4.44%

B. 3.10%

C. 1.45%

D. 2.10%

13. (5 points) Find the expected return on stock Y for the period 2002-2004

A. 10.56%

B. 11.97%

C. 14.67%

D. 13.22%

14. (5 points) Find the standard deviation of returns on stock X for the period 2002-2004

A. 13.04%

B. 18.22%

C. 15.55%

D. 20.41%

15. (5 points) Find the standard deviation of returns on stock Y for the period 2002-2004

A. 27.02%

B. 17.88%

C. 22.36%

D. 30.01%

16. (5 points) Find the correlation of returns on stock X and Y for the period 2002-2004

A. 0.672

B. 0.585

C. 0.472

D. 0.558

17. (5 points) Find the optimal portfolio weights that maximize the risk-adjusted return (e.g., the Sharpe ratio)

A. w(x)=0.6608, w(y)=0.3392

B. w(x)=0.8862, w(y)=0.1138

C. w(x)=0.4892, w(y)=0.5108

D. w(x)=0.7035, w(y)=0.2965

18. (5 points) Find the expected return of the optimal portfolio

A. 10.04%

B. 9.11%

C. 8.21%

D. 11.66%

19. (5 points) Find the standard deviation of the optimal portfolio

A. 12.80%

B. 13.62%

C. 14.97%

D. 11.89%

20. (5 points) Find the maximum risk-adjusted return (i.e., the Sharpe ratio, assuming zero risk free rate)

A. 0.6383

B. 0.5890

C. 0.6412

D. 0.7821

Use the table below for Questions 1220