Year 1997 1998 1999 2000 2001 The following table presents historical percentage returns for the Company...

 

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Year 1997 1998 1999 2000 2001 The following table presents historical percentage returns for the Company A and Company B along with the percentage returns on the market portfolio (index): Company A 14% 19 -16 3 20 Company B %13 7 -5 1 11 Market 12% 10 -12 1 15 Calculate the followings based on the table above: a) mean historical returns for the Company A, Company B and the market; b) variances associated with Company A, Company B and the market portfolio returns; c) the historical covariance and coefficient of correlation between returns of the Company A and the returns on the market portfolio: d) the historical covariance and coefficient of correlation between returns of the Company B and the returns on the market portfolio; e) betas of Company A and Company B; f) If the portfolio consists of 80% of stock A and 20% of stock B, what is the portfolio return and portfolio variance? The coeffcient of correlation between returns of the two securities is 0.90. Year 1997 1998 1999 2000 2001 The following table presents historical percentage returns for the Company A and Company B along with the percentage returns on the market portfolio (index): Company A 14% 19 -16 3 20 Company B %13 7 -5 1 11 Market 12% 10 -12 1 15 Calculate the followings based on the table above: a) mean historical returns for the Company A, Company B and the market; b) variances associated with Company A, Company B and the market portfolio returns; c) the historical covariance and coefficient of correlation between returns of the Company A and the returns on the market portfolio: d) the historical covariance and coefficient of correlation between returns of the Company B and the returns on the market portfolio; e) betas of Company A and Company B; f) If the portfolio consists of 80% of stock A and 20% of stock B, what is the portfolio return and portfolio variance? The coeffcient of correlation between returns of the two securities is 0.90.

Answer rating: 100% (QA)

To calculate the requested values well use the given historical percentage returns for Company A Company B and the market portfolio Lets go step by step a Mean Historical Returns The mean historical r... View the full answer