Question

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 and the standard deviation of X and Y | ||

What is the covariance between X and Y ? What is their correlation? |

TASK 2 |
|||||||

the mean of X is 7% and its standard deviation is 3.5%, and the mean of Y is 9% | |||||||

and its standard deviation is 11%. Suppose also that CORR(X,Y) = 0.45. | |||||||

(a) Consider a portfolio consisting of investing 65% into Dow Jones and 35% into | |||||||

Nikkei. What is the mean return of this portfolio? | |||||||

(b) What is the standard deviation of the return of this portfolio? |

Answer #1

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