of paper. Please highlight your answers so we can find them easily. 1. Compute and report the mean returns‚ variances‚ and standard deviations for the two stocks. In addition‚ compute the covariance and the correlation between the two stock returns. Report all numbers as annualized. (Hint: annualized variance is equal to 12*monthly variance. Also‚ please do not report variances and covariances in %‚ which would not make sense.) 2. Plot the mean-standard deviation graph for a portfolio
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been reviewing random variables. RVs have certain properties such as mean that measures the center‚ and variance that measures the dispersion. We would like to make claims about these properties and test them using statistical methods. Over the past years‚ Wall Street has been very interested in the volatility of the stocks. In this case‚ we would want to make sound claims about variances. We start with a null hypothesis Ho‚ which is the claim that we will test. It looks as such: In this
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Econometrics Assignment 2 Group Members : Eliza Tan 01120120073 Praisya Lordrietta 01120120061 Wirhan Pandutama 0112012 UNIVERSITAS PELITA HARAPAN LIPPO KARAWACI-TANGERANG 2014 Gauss-Markov Theorem The Gauss-Markov Theorem is given in the following regression model and assumptions: The regression model (1) Assumptions (A) or Assumptions (B): Assumptions (A) Assumptions (B) E( If we use
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Normal Distribution Normal distribution is a statistics‚ which have been widely applied of all mathematical concepts‚ among large number of statisticians. Abraham de Moivre‚ an 18th century statistician and consultant to gamblers‚ noticed that as the number of events (N) increased‚ the distribution approached‚ forming a very smooth curve. He insisted that a new discovery of a mathematical expression for this curve could lead to an easier way to find solutions to
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distribution of predictions for the population of financial analysts is normal. a) The probability is 0.10 that the sample variance is more than what percentage of the population variance? b) Determine any pair of numbers a and b to complete the following sentence: The probability is 0.95 that the sample variance is between a% and b% of the population variance. 2. A random sample of 202 vice presidents of marketing in corporations from the manufacturing sector were given a list
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probability that it will rain‚ we move from pure simulation to Monte Carlo. The reason for this distinction is that there may be other ways to define A that make it easier to estimate. This process is called variance reduction‚ since most of the error in A is statistical. Reducing the variance of A reduces the statistical error. We often have a choice between Monte Carlo and deterministic methods. For example‚ if X is a one dimensional random variable with probability density f (x)‚ we can estimate
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information. We define σt to be the time t 2 conditional variance of ηt+1 or the conditional expectation of ηt+1 . We assume the conditional on time t information‚ the innovation is normally distributed: 2 ηt+1 ∼ N (0‚ σt ) (1) The unconditional variance of the innovation‚ σ 2 ‚ is just the unconditional 2 expectation of σt . 2 2 σ 2 ≡ E[ηt+1 ] = E[σt ] (2) 2 The variability of σt around its mean does not change the unconditional 2 2 variance σ . The variability of σt does affect higher moments
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volume shifts to the right; (see the graph below) it may not be at the equilibrium but it’s getting closer to the equilibrium. (Period 2 production lies between period 1 and equilibrium production level) In the second half of the year‚ the labor variance looks worse than the first term. This is the result of an increase in production during second term. In the first half of the year‚ the company did not meet its production quota (therefore less materials and labor were used for production). So Carlo
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http://www.nbcc.org/NCE/Sample n attempting to understand the life perspectives and characteristics of their clients‚ some counselors use Kohlberg’s theory of moral development as a theoretical framework. These counselors know that Kohlberg’s theory includes three progressive levels culminating in: principled thought‚ wherein the individual adopts a self-accepted set of standards of behavior personhood‚ wherein the individual is free from moral dilemmas self-actualization‚ wherein the individual
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this tool to compute the global minimum variance portfolio and the tangency portfolio for the three-firm example (see the spreadsheet 3firm.xls). The spreadsheet for this tutorial is called solverex.xls. The data for this example are given in the following table Stock 1 2 3 E[R] 0.229 0.138 0.052 VAR(R) 0.924 0.862 0.528 COV(I‚J) 0.063 -0.582 -0.359 PAIR(I‚J) (1‚2) (1‚3) (2‚3) For convenience‚ I have named the cells containing the expected returns‚ variances and covariances. See the 483solverex
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