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Solution Library
Finding Expected Mean, Standard Deviation and Correlation Coefficient
Question
Consider the following ex ante (expected) distributions for assets 1 and 2: marginal distributions
|
Asset 1 |
|
|
Asset 2 |
|
|
|
m |
R1m |
f(R1m) |
l |
R2l |
f(R2l) |
|
1 |
12% |
0.45 |
1 |
4% |
0.09 |
|
2 |
6% |
0.55 |
2 |
8% |
0.17 |
|
|
|
|
3 |
10% |
0.35 |
|
|
|
|
4 |
14% |
0.39 |
joint distribution (for above outcomes of return)
|
m |
L |
f(R1m, R2l) |
|
1 |
1 |
0.01 |
|
1 |
2 |
0.03 |
|
1 |
3 |
0.17 |
|
1 |
4 |
0.24 |
|
2 |
1 |
0.08 |
|
2 |
2 |
0.14 |
|
2 |
3 |
0.18 |
|
2 |
4 |
0.15 |
Question
For question 2, consider the following ex post (historical) time series for assets 3 and 4:
|
t |
R3t |
R4t |
|
1 |
-2% |
3% |
|
2 |
4% |
-4% |
|
3 |
6% |
20% |
Question
Using the ex post data given above, calculate the following:
A. The sample mean returns for assets 3 and 4
B. The sample variances (total risk) of return (si2) for assets 3 and 4
C. The sample standard deviations of return (si) for assets 3 and 4
D. The sample covariance of return (sij) between assets 3 and 4
E. The sample correlation coefficient of return (rij) between assets 3 and 4
Summary
The question belongs to Statistics and it is about finding expected mean, covariance, standard deviation and correlation coefficient between two assets and their returns.
Total Word Count 97
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