Question

Let X denote the percentage increase in the Dow Jones Index in the coming year and...

Let X denote the percentage increase in the Dow Jones Index in the coming year and let Y denote the percentage increase in the S&P500 Index in the coming year. Suppose that X and Y obey a joint normal distribution and that the mean of X is 11% and its standard deviation is 13%, and the mean of Y is 10% and its standard deviation is 12%. Suppose that corr(X,Y) = 0.43.

1. What is the probability that the Dow Jones Index will increase by more than 11% in the coming year?

2. What is the probability that the Dow Jones Index will decrease by more than 11% in the coming year?

3. What is the probability that the S&P500 Index will increase in the coming year by an amount less than 15%?

4. Suppose that a person places 30% of a portfolio in the Dow Jones Index and the remaining 70% of the portfolio in the S&P500 Index. What is the expected return of the combined portfolio? What is the standard deviation of this return? 5. What is the distribution of X ? Y? What is the probability that X is greater than Y?

Math   Statistics-And-Probability   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
YEAR X Y 2009 1000 9000 2010 800 12500 2011 650 15000 2012 1200 11000 2013...
YEAR X Y 2009 1000 9000 2010 800 12500 2011 650 15000 2012 1200 11000 2013 1100 10500 2014 1300 12000 2015 1250 11000 2016 3000 8000 2017 4000 7500 2018 10000 5500 2019 15000 1000 2020 14000 1500 What is expectation of X and Y The revenue generated by both is 3:5X + 2:6Y (i) What is the expected revenue generated by these two? (ii) What is the variance and the standard deviation of the revenue? What is variance...
Let x denote the time it takes to run a road race. Suppose x is approximately...
Let x denote the time it takes to run a road race. Suppose x is approximately normally distributed with a mean of 190 minutes and a standard deviation of 21 minutes. If one runner is selected at random, what is the probability that this runner will complete this road race in less than 205 minutes? Round your answer to four decimal places. P= #2 Let x denote the time it takes to run a road race. Suppose x is approximately...
Let the random variable X denote the annual return from investing in Xerox Corporation and let...
Let the random variable X denote the annual return from investing in Xerox Corporation and let the random variable Y denote the annual return from investing in Yelp Corporation. From historical data you can calculate that: Means: mean_X = 1.10 and mean_Y = 1.10 Standard Deviations: sigma_X = 0.08 and sigma_Y = 0.04 The correlation between X and Y is r=-0.75 Suppose that we invest a fraction "alpha" of our money in Xerox Corporation and the remaining fraction (1 -...
Let X and Y be two independent exponential random variables. Denote X as the time until...
Let X and Y be two independent exponential random variables. Denote X as the time until Bob comes with average waiting time 1/lamda (lambda > 0). Denote Y as the time until Gary comes with average waiting time 1/mu (mu >0). Let S be the time before both of them come. a) What is the distribution of S? b) Derive the probability mass function of T defined by T=0 if Bob comes first and T=1 if Gary comes first. c)...
There are two fuses in an electrical device. Let X denote the lifetime of the first...
There are two fuses in an electrical device. Let X denote the lifetime of the first fuse, and let Y denote the lifetime of the second fuse (both in years). Assume the joint probability density function of X and Y is f(x,y)=12xy(1-y), 0<x<1, 0<y<1 What is the probability that both fuses last at most 6 months?        What is the probability that the first fuse lasts longer than 6 months given that the second fuse lasts 3 months.    ...
suppose you flip a biased coin ( P(H) = 0.4) three times. Let X denote the...
suppose you flip a biased coin ( P(H) = 0.4) three times. Let X denote the number of heads on the first two flips, and let Y denote the number of heads on the last two flips. (a) Give the joint probability mass function for X and Y (b) Are X and Y independent? Provide evidence. (c)what is Px|y(0|1)? (d) Find Px+y(1).
Let X denote the wing length in millimeters of a male gallinule and Y the wing...
Let X denote the wing length in millimeters of a male gallinule and Y the wing length in millimeters of a female gallinule. Assume that X is N(184.09,39.37) and Y is N(171.93, 48.88) and that X and Y are independent. If a male and a female gallinule are captured, what is the probability that X is greater than Y?  
Let X denote the lifetime of a light bulb of a certain brand. Suppose that the...
Let X denote the lifetime of a light bulb of a certain brand. Suppose that the lifetime of a light bulb of this particular brand has an exponential distribution with mean lifetime of 200 hours. What is the probability that a light bulb has a lifetime between 100 and 400 hours?
Two genes’ expression values follow a bivariate normal distribution. Let X and Y denote their expression...
Two genes’ expression values follow a bivariate normal distribution. Let X and Y denote their expression values respectively. Also assume that X has mean 9 and variance 3; Y has mean 10 and variance 5; and the covariance between X and Y is 2. In a trial, 50 independent measurements of the expression values of the two genes are collected, and denoted as 11 ( , ) XY, …, 50 50 ( , ) XY. We wish to find the...
You manage a U.S. core equity portfolio that is sector-neutral to the S&P500 Index (its industry...
You manage a U.S. core equity portfolio that is sector-neutral to the S&P500 Index (its industry sector weights approximately match the S&P 500's). Taking a weighted average of the projected mean returns on the holdings, you forecast a portfolio return of 12%. You estimate a standard deviation of annual return of 22%, which is close to the long-run figure for the S&P 500. For the year-ahead return on the portfolio, assuming Normality for portfolio returns, you are asked to do...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT