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An investor has a two-stock portfolio (Stocks A and B) with the following characteristics:
σA = 55%
σB = 85%
CovarianceA,B = 0.09
WA = 70%
WB = 30%
The variance of the portfolio is closest to:
An investor has a two-stock portfolio (Stocks A and B) with the following characteristics: σA = 55% σB = 85% CovarianceA,B = 0.09 WA = 70% WB = 30% The variance of the portfolio is closest to:
Using the following correlation matrix, which two stocks would combine to make the lowest-risk
portfolio? (Assume the stocks have equal risk and returns.)
Stock, A, B, C:
A, +1, -, -.
B, -0.2, +1, -.
C, +0.6, -0.1, +1.
Using the following correlation matrix, which two stocks would combine to make the lowest-risk portfolio? (Assume the stocks have equal risk and returns.) Stock, A, B, C: A, +1, -, -. B, -0.2, +1, -. C, +0.6, -0.1, +1.
If the standard deviation of returns for stock A is 0.40 and for stock B is 0.30 and the covariance between the returns of the two stocks is 0.007 what is the correlation between stocks A and B?
If the standard deviation of returns for stock A is 0.40 and for stock B is 0.30 and the covariance between the returns of the two stocks is 0.007 what is the correlation between stocks A and B?
Two assets are perfectly positively correlated. If 30% of an investor's funds were put in the asset with a standard deviation of 0.3 and 70% were invested in an asset with a standard deviation of 0.4, what is the standard deviation of the portfolio?
Two assets are perfectly positively correlated. If 30% of an investor's funds were put in the asset with a standard deviation of 0.3 and 70% were invested in an asset with a standard deviation of 0.4, what is the standard deviation of the portfolio?
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Which of the following statements regarding the covariance of rates of return is least accurate?
Which of the following statements regarding the covariance of rates of return is least accurate?
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Betsy Minor is considering the diversification benefits of a two stock portfolio. The expected return of stock A is 14 percent with a standard deviation of 18 percent and the expected return of stock B is 18 percent with a standard deviation of 24 percent. Minor intends to invest 40 percent of her money in stock A, and 60 percent in stock B. The correlation coefficient between the two stocks is 0.6. What is the variance and standard deviation of the two stock portfolio?
Betsy Minor is considering the diversification benefits of a two stock portfolio. The expected return of stock A is 14 percent with a standard deviation of 18 percent and the expected return of stock B is 18 percent with a standard deviation of 24 percent. Minor intends to invest 40 percent of her money in stock A, and 60 percent in stock B. The correlation coefficient between the two stocks is 0.6. What is the variance and standard deviation of the two stock portfolio?
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If the standard deviation of stock A is 10.6%, the standard deviation of stock B is 14.6%, and the covariance between the two is 0.015476, what is the correlation coefficient?
If the standard deviation of stock A is 10.6%, the standard deviation of stock B is 14.6%, and the covariance between the two is 0.015476, what is the correlation coefficient?
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What is the variance of a two-stock portfolio if 15% is invested in stock A (variance of 0.0071) and 85% in stock B (variance of 0.0008) and the correlation coefficient between the stocks is 0.04?
What is the variance of a two-stock portfolio if 15% is invested in stock A (variance of 0.0071) and 85% in stock B (variance of 0.0008) and the correlation coefficient between the stocks is 0.04?
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The correlation coefficient between stocks A and B is 0.75. The standard deviation of stock A's returns is 16% and the standard deviation of stock B's returns is 22%. What is the covariance between stock A and B?
The correlation coefficient between stocks A and B is 0.75. The standard deviation of stock A's returns is 16% and the standard deviation of stock B's returns is 22%. What is the covariance between stock A and B?
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Calculating the variance of a two-asset portfolio least likely requires inputs for each asset's:
Calculating the variance of a two-asset portfolio least likely requires inputs for each asset's:
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The covariance of the market's returns with the stock's returns is 0.008. The standard deviation of the market's returns is 0.1 and the standard deviation of the stock's returns is 0.2. What is the correlation coefficient between the stock and market returns?
The covariance of the market's returns with the stock's returns is 0.008. The standard deviation of the market's returns is 0.1 and the standard deviation of the stock's returns is 0.2. What is the correlation coefficient between the stock and market returns?
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An analyst gathered the following data for Stock A and Stock B:
Time Period, Stock A Returns, Stock B Returns:
1, 10%, 15%.
2, 6%, 9%.
3, 8%, 12%.
What is the covariance for this portfolio?
An analyst gathered the following data for Stock A and Stock B: Time Period, Stock A Returns, Stock B Returns: 1, 10%, 15%. 2, 6%, 9%. 3, 8%, 12%. What is the covariance for this portfolio?
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An investor's portfolio currently has an expected return of 11% with a variance of 0.0081. She is considering replacing 20% of the portfolio with a security that has an expected return of 12% and a standard deviation of 0.07. If the covariance between the returns on the existing portfolio and the returns on the added security is 0.0058, the variance of returns on the new portfolio will be closest to:
An investor's portfolio currently has an expected return of 11% with a variance of 0.0081. She is considering replacing 20% of the portfolio with a security that has an expected return of 12% and a standard deviation of 0.07. If the covariance between the returns on the existing portfolio and the returns on the added security is 0.0058, the variance of returns on the new portfolio will be closest to:
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An investor calculates the following statistics on her two-stock (A and B) portfolio.
σA = 20%
σB = 15%
rA,B = 0.32
WA = 70%
WB = 30%
The portfolio's standard deviation is closest to:
An investor calculates the following statistics on her two-stock (A and B) portfolio. σA = 20% σB = 15% rA,B = 0.32 WA = 70% WB = 30% The portfolio's standard deviation is closest to:
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If the standard deviation of asset A is 12.2%, the standard deviation of asset B is 8.9%, and the correlation coefficient is 0.20, what is the covariance between A and B?
If the standard deviation of asset A is 12.2%, the standard deviation of asset B is 8.9%, and the correlation coefficient is 0.20, what is the covariance between A and B?
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A bond analyst is looking at historical returns for two bonds, Bond 1 and Bond 2. Bond 2's returns are much more volatile than Bond 1. The variance of returns for Bond 1 is 0.012 and the variance of returns of Bond 2 is 0.308. The correlation between the returns of the two bonds is 0.79, and the covariance is 0.048. If the variance of Bond 1 increases to 0.026 while the variance of Bond 2 decreases to 0.188 and the covariance remains the same, the correlation between the two bonds will:
A bond analyst is looking at historical returns for two bonds, Bond 1 and Bond 2. Bond 2's returns are much more volatile than Bond 1. The variance of returns for Bond 1 is 0.012 and the variance of returns of Bond 2 is 0.308. The correlation between the returns of the two bonds is 0.79, and the covariance is 0.048. If the variance of Bond 1 increases to 0.026 while the variance of Bond 2 decreases to 0.188 and the covariance remains the same, the correlation between the two bonds will:
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If two stocks have positive covariance:
If two stocks have positive covariance:
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An investment advisor is considering a portfolio that is 60% invested in a broad-based stock index fund with the remainder invested in a taxable bond fund. The stock index fund has an expected return of 7% and variance of 0.04, while the bond fund has an expected return of 3% and a variance of 0.0081. If the covariance of returns between the bond and index funds is 0.0108, the standard deviation of returns for the overall portfolio is closest to:
An investment advisor is considering a portfolio that is 60% invested in a broad-based stock index fund with the remainder invested in a taxable bond fund. The stock index fund has an expected return of 7% and variance of 0.04, while the bond fund has an expected return of 3% and a variance of 0.0081. If the covariance of returns between the bond and index funds is 0.0108, the standard deviation of returns for the overall portfolio is closest to:
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If the standard deviation of returns for stock X is 0.60 and for stock Y is 0.40 and the covariance between the returns of the two stocks is 0.009, the correlation between stocks X and Y is closest to:
If the standard deviation of returns for stock X is 0.60 and for stock Y is 0.40 and the covariance between the returns of the two stocks is 0.009, the correlation between stocks X and Y is closest to:
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A portfolio manager invests 40% of a portfolio in Asset X, which has an expected standard deviation of returns of 15%, and the remainder in Asset Y, which has an expected standard deviation of returns of 25%. If the covariance of returns between assets X and Y is 0.0158, the expected standard deviation of portfolio returns is closest to:
A portfolio manager invests 40% of a portfolio in Asset X, which has an expected standard deviation of returns of 15%, and the remainder in Asset Y, which has an expected standard deviation of returns of 25%. If the covariance of returns between assets X and Y is 0.0158, the expected standard deviation of portfolio returns is closest to:
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If the standard deviation of stock X is 7.2%, the standard deviation of stock Y is 5.4%, and the covariance between the two is –0.0031, their correlation coefficient is closest to:
If the standard deviation of stock X is 7.2%, the standard deviation of stock Y is 5.4%, and the covariance between the two is –0.0031, their correlation coefficient is closest to:
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Stock 1 has a standard deviation of 10. Stock 2 also has a standard deviation of 10. If the correlation coefficient between these stocks is –1, what is the covariance between these two stocks?
Stock 1 has a standard deviation of 10. Stock 2 also has a standard deviation of 10. If the correlation coefficient between these stocks is –1, what is the covariance between these two stocks?
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Assets A (with a variance of 0.25) and B (with a variance of 0.40) are perfectly positively correlated. If an investor creates a portfolio using only these two assets with 40% invested in A, the portfolio standard deviation is closest to:
Assets A (with a variance of 0.25) and B (with a variance of 0.40) are perfectly positively correlated. If an investor creates a portfolio using only these two assets with 40% invested in A, the portfolio standard deviation is closest to:
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