Chapter 5 Bài tập
Chapter 5 Bài tập
Chapter 5 Bài tập
∑𝒏𝒊=𝟏(𝑹𝒊 )
Mean Trung bình Expected Return 𝑬(𝑹) =
𝑵
𝒏
𝟏
Variance Phương sai Variance 𝝈𝑹 𝟐 = ∑{ [𝑹𝒊 − 𝑬(𝑹)]𝟐 }
𝑵−𝟏
𝒊=𝟏
𝒊=𝟏
Exercise 1:
You and your friends have just measured the heights of your dogs (in millimeters):
The heights (at the shoulders) are: 600mm, 470mm, 170mm, 430mm and 300mm.
Find out the Mean, the Variance, and the Standard Deviation.
Exercise 2:
Sun Corporation has had returns of -6%, 16%, 18%, and 28% for the past four years.
Calculate the expected return, variance, standard deviation of the returns.
Exercise 3:
A stock had returns of 19 percent, 12 percent, -29 percent, 35 percent, and 4 percent
annually for the past five years. Based on these returns, what is the standard deviation
of these returns?
Exercise 4:
A stock had returns of 12 percent, 6 percent, 14 percent, and -3 percent annually for
the past four years. What is the mean and standard deviation of these returns?
Exercise 5:
The coin toss game.
You start by investing $100. Then two coins are flipped.
For each head that comes up you get back your starting balance plus 20% and for
each tail that comes up you get back your starting balance less 10%.
Exercise 6:
There is 30% chance the total return on Dell stock will be -3.45%, a 30% chance it will
be +5.17% , a 30% chance it will be +12.07% and a 10% chance that it will be
+24.14%. Calculate the expected return, variance and standard deviation.
Exercise 7:
Exercise 9:
RTF stock is expected to return 13 percent in a normal economy and lose 8 percent
in a recession. The probability of a recession is 25 percent. What is the standard
deviation of the returns this stock?
PART 2: PORTFOLIO
𝐍
1
𝐂𝐨𝐯(𝐑1 , 𝐑 2 ) = 𝛔12 = ̅ 1 ). (𝐑 2𝐢 − 𝐑
∑(𝐑1𝐢 − 𝐑 ̅ 2)
𝐍−1
𝐢=1
𝝈𝟏𝟐
𝐂𝐨𝐫𝐫𝐞𝐥𝐚𝐭𝐢𝐨𝐧 𝐜𝐨𝐞𝐟𝐟𝐢𝐜𝐢𝐞𝐧𝐭 𝛒𝟏𝟐 =
𝛔𝟏 𝛔𝟐
Exercise 10:
The variance of Stock A is .015376, the variance of Stock B is .028561, and the
covariance between the two is .0024. What is the correlation coefficient?
Exercise 11:
Stock M and Stock N have had the following returns for the past three years of -12%,
10%, 32%; and 15%, 6%, 24% respectively. Calculate the covariance between the two
securities. What is the correlation coefficient?
Exercise 12:
Stock M and Stock N have had the following returns for the past three years of -12%,
10%, 22%; and 12%, 8%, 20% respectively. Calculate the covariance between the two
securities. What is the correlation coefficient?
Exercise 13:
Stock P and stock Q have had annual returns of -8%, 12%, 20% and 8%, 15%, 20%
respectively. Calculate the covariance of return between the securities. What is the
correlation coefficient?
Exercise 14:
Suppose you invest 60% of your portfolio in Campbell Soup and 40% in Boeing. The
expected dollar return on your Campbell Soup stock is 3.1% and on Boeing is 9.5%.
The standard deviation of their annualized daily returns are 15.8% and 23.7%,
respectively. Calculate the portfolio variance if:
a) Correlation coefficient of 1.0;
b) Correlation coefficient of -1.0;
c) Correlation coefficient of 0
Exercise 15:
The table below shows the one year return distribution for stock A and stock B.
Stock A Stock B
Return Probability Return Probability
-25% 10% -100% 40%
-10% 20% -75% 20%
0% 15% -50% 20%
10% 25% -25% 10%
25% 30% 1000% 10%
Notes: you invest 40% in Stock A and 60% in Stock B, correlation coefficient of 2
stocks = -1.
a. Calculate expected return of two stocks?
b. Calculate the standard deviation of two stocks?
c. Which stock is riskier?
d. Calculate expected return of portfolio?
e. Calculate the standard deviation of portfolio?
THE END