答案和详解如下： 6、The historical return for each of a portfolio’s four positions is shown below. Using the population standard deviation, what is the coefficient of variation (CV) for these returns? Position | Return | A | 17.0% | B | 12.2% | C | 3.9% | D | –8.4% |
A) 1.89. B) 1.97. C) 3.12. D) 1.56. The correct answer was D) The coefficient of variation is equal to the standard deviation of returns divided by the mean return. Position | Return | (R – 6.175%)2
| A | 17.0% | 117.18 | B | 12.2% | 36.30 | C | 3.9% | 5.18 | D | –8.4% | 212.43 | Mean | 6.175% | Sum = 371.09 | Std. Dev. = (371.09 / 4)0.5 = 9.63 | CV = 9.63 / 6.175 = 1.56 |
7、What is the coefficient of variation for a distribution with a mean of 10 and a variance of 4? A) 25%. B) 40%. C) 20%. D) 50%. The correct answer was C) Coefficient of variation, CV = standard deviation / mean. The standard deviation is the square root of the variance, or 4½ = 2. So, CV = 2/10 = 20%. 8、An investor is considering two investments. Stock A has a mean annual return of 16 percent and a standard deviation of 14 percent. Stock B has a mean annual return of 20 percent and a standard deviation of 30 percent. Calculate the coefficient of variation (CV) of each stock and determine if stock A has less dispersion or more dispersion relative to B.
A) 0.875 Stock A has less dispersion relative to the mean than stock B B) 1.14 Stock A has less dispersion relative to the mean than stock B C) 0.875 Stock A has more dispersion relative to the mean than stock B D) 1.14 Stock A has more dispersion relative to the mean than stock B The correct answer was A) CV stock A = .14/.16 = 0.875 < CV stock B = .03/.20 = 1.5 Stock A has less dispersion relative to the mean than Stock B. | 
发表于 2008-4-8 18:15
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