Q11. Compute the standard deviation of a two-stock portfolio if stock A (40% weight) has a variance of 0.0015, stock B (60% weight) has a variance of 0.0021, and the correlation coefficient for the two stocks is –0.35? A) 2.64%. B) 1.39%. C) 0.07%.
Q12. For assets A and B we know the following: E(RA) = 0.10, E(RB) = 0.20, Var(RA) = 0.25, Var(RB) = 0.36 and the correlation of the returns is 0.6. What is the expected return of a portfolio that is equally invested in the two assets? A) 0.3050. B) 0.1500. C) 0.2275.
Q13. A two-sided but very thick coin is expected to land on its edge twice out of every 100 flips. And the probability of face up (heads) and the probability of face down (tails) are equal. When the coin is flipped, the prize is $1 for heads, $2 for tails, and $50 when the coin lands on its edge. What is the expected value of the prize on a single coin toss? A) $1.50. B) $17.67. C) $2.47.
Q14. The following information is available concerning expected return and standard deviation of Pluto and Neptune Corporations:
| Expected Return | Standard Deviation | Pluto Corporation | 11% | 0.22 | Neptune Corporation | 9% | 0.13 |
If the correlation between Pluto and Neptune is 0.25, determine the expected return and standard deviation of a portfolio that consists of 65% Pluto Corporation stock and 35% Neptune Corporation stock. A) 10.3% expected return and 2.58% standard deviation. B) 10.3% expected return and 16.05% standard deviation. C) 10.0% expected return and 16.05% standard deviation.
Q15. Assume two stocks are perfectly negatively correlated. Stock A has a standard deviation of 10.2% and stock B has a standard deviation of 13.9%. What is the standard deviation of the portfolio if 75% is invested in A and 25% in B? A) 4.18%. B) 0.00%. C) 0.17%.
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发表于 2009-1-9 09:49
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