答案和详解如下： Q1. The mean and standard deviation of returns for Stock A is represented below.
Arithmetic Mean Standard Deviation Stock A 20% 8% The coefficient of variation of Stock A is: A)
0.4 B) 2.50 C) 3.00 Correct answer is A) CV = Standard Deviation / Mean = (8 / 20) = 0.4 Q2. The mean monthly return on (U.S. Treasury bills) T-bills is 0.42% with a standard deviation of 0.25%. What is the coefficient of variation? A) 84%. B) 168%. C) 60%. Correct answer is C) The coefficient of variation expresses how much dispersion exists relative to the mean of a distribution and is found by CV = s / mean, or 0.25 / 0.42 = 0.595, or 60%. Q3. An investor is considering two investments. Stock A has a mean annual return of 16% and a standard deviation of 14%. Stock B has a mean annual return of 20% and a standard deviation of 30%. Calculate the coefficient of variation (CV) of each stock and determine if Stock A has less dispersion or more dispersion relative to B. Stock A's CV is: A) 0.875, and thus has less dispersion relative to the mean than Stock B. B) 1.14, and thus has more dispersion relative to the mean than Stock B. C) 1.14, and thus has less dispersion relative to the mean than Stock B. Correct answer is A) CV stock A = 0.14 / 0.16 = 0.875 CV stock B = 0.03 / 0.20 = 1.5 Stock A has less dispersion relative to the mean than Stock B. Q4. The mean monthly return on a sample of small stocks is 4.56% with a standard deviation of 3.56%. What is the coefficient of variation? A) 78%. B) 128%. C) 84%. Correct answer is A) The coefficient of variation expresses how much dispersion exists relative to the mean of a distribution and is found by CV = s / mean. 3.56 / 4.56 = 0.781, or 78%. Q5. If stock X's expected return is 30% and its expected standard deviation is 5%, Stock X's expected coefficient of variation is: A) 0.167. B) 6.0. C) 1.20. Correct answer is A) The coefficient of variation is the standard deviation divided by the mean: 5 / 30 = 0.167. | 
发表于 2009-1-8 17:44
| 
