Reading 7: Statistical Concepts and Market Returns - LOS f investment, expected, white, style

mayanfang1

Q10. There is a 40% chance that an investment will earn 10%, a 40% chance that the investment will earn 12.5%, and a 20% chance that the investment will earn 30%. What is the mean expected return and the standard deviation of expected returns, respectively?

A)   15.0%; 5.75%.

B)   15.0%; 7.58%.

C)   17.5%; 5.75%.

Q11. The weights and returns for individual positions in a portfolio are shown below:

Position   Mkt. Value at 1/1/05($MM)        Return for 2005(%)

A                      1.3                           –2.0

B                      1.4                           –4.2

C                     2.2                           +6.4

D                     3.9                           +2.1

E                      1.7                           –0.8

What is the return on the portfolio?

A)   +1.18%.

B)   +1.50%.

C)   -1.20%.

mayanfang1

答案和详解如下：

Q10. There is a 40% chance that an investment will earn 10%, a 40% chance that the investment will earn 12.5%, and a 20% chance that the investment will earn 30%. What is the mean expected return and the standard deviation of expected returns, respectively?

A)   15.0%; 5.75%.

B)   15.0%; 7.58%.

C)   17.5%; 5.75%.

Correct answer is B)

Mean = (0.4)(10) + (0.4)(12.5) + (0.2)(30) = 15%

Var = (0.4)(10 − 15)² + (0.4)(12.5 − 15)² + (0.2)(30 − 15)² = 57.5

Standard deviation = √57.5 = 7.58

Q11. The weights and returns for individual positions in a portfolio are shown below:

Position   Mkt. Value at 1/1/05($MM)        Return for 2005(%)

A                      1.3                           –2.0

B                      1.4                           –4.2

C                     2.2                           +6.4

D                     3.9                           +2.1

E                      1.7                           –0.8

What is the return on the portfolio?

A)   +1.18%.

B)   +1.50%.

C)   -1.20%.

Correct answer is A)

The return is equal to sum of the products of each position’s value and return divided by the beginning portfolio value.Position     Mkt. Value at

1/1/05($MM)    Return for 2005(%) Position Value × Return ($MM)

A                 1.30      –2.0                  0.0260

B                1.40        –4.2                  0.0588

C               2.20        +6.4                  0.1408

D               3.90        +2.1                  0.0819

E                1.70        –0.8                  0.0136

Total                        10.50                 0.1243

0.1243 / 10.5($MM) =        +1.1838%

jacky_z

thanks

Hzhenming

呵呵

gracesun

thanks a lot

zeraeh

看答案，谢谢LZ

saint_zhu

很多很多

dullmul

answers

zx123456

b

c

baodexi

thx