‘ Investment Analysis & Portfolio Management Sharpe’s Single Index Model Practice Sheet -2 | |1. Betas of two stocks are 0.73 and 1.20 respectively. If the standard deviation of the market returns is 15.49%, the covariance between | | | |the two stock’s return is | | | |(a) 175.20(%)2 (b) 210.20(%)2 (c) 288.20(%)2 (d) 328.76(%)2 (e) 345.60(%)
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SunAir Boat Builders, Inc. Question 1: Direct Material Variance (Glass Cloth) | | | | Standard usage (a) | Actual Usage (b) | Difference (c) = (b) - (a) | Standard Price (e) | Usage Variance (f) = (c)*(e) | Favorable/ Unfavorable? | 51600 | 54000 | 2400 | 2 | 4800 | Unfavorable | Standard Price (g) | Actual Price (h) | Difference (i) = (h) - (g) | Actual Quantity (j) | Price Variance (k) = (i) * (j) | Favorable/ Unfavorable? | 2 | 1.8 | -0.20 | 54000 | -10800 | Favorable
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Disadvantages of Markowitz approach: The Markowitz method is very sensitive to small changes in the initial conditions, that is in the choice of the data period. Sometimes even changing the analysed period by a few days will greatly alter the composition of the portfolio. Therefore, there is no certainty that the used parameters are stable enough over time. Markowitz’ optimizers maximize errors. It is not possible to estimate exactly the expected returns, variances and covariances. It is assumed
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In statistics, a collection of random variables is heteroscedastic (often spelled heteroskedastic,[1] and commonly pronounced with a hard k regardless of spelling) if there are sub-populations that have different variabilities from others. Here "variability" could be quantified by the variance or any other measure of statistical dispersion. Thus heteroscedasticity is the absence of homoscedasticity. The possible existence of heteroscedasticity is a major concern in the application of regression
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The first part of the process is to calculate the c ost of the money; the required return on debt (r D ) and the required return on equity (r E ). To do this, an equity Beta for MCI is needed. This was done by comparing MCI returns to S&P 500 returns for a p eriod of 3 years and a period of 5 years. The Beta s were vastly different and so the Beta for the 3 yea r period was used so that the more current correlat ion could be used. MCI has been dramatically changing over the past 3
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Exercise 6. In the context of the shareholder wealth-maximization model of a firm, what is the expected impact of each of the following events on the value of the firm? Explain why New foreign competitors enter the market This would decrease the value of firm because the entry of new foreign competitors means there will be no monopoly market and the firm will have competitors thus reduce it shareholder wealth maximization. Strict pollution control requirements are enacted This would decrease
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Coherence and Stochastic Resonance of FHN Model 1 Introduction Deterministic, nonlinear systems with excitable dynamics, e.g. the FitzHugh Nagumo (FHN) Model, undergo bifurcation from stable focus to limit cycle on tuning the system parameter. However, addition of uncorrelated noise to the system can kick the system to the limit cycle region, thus exhibiting spiking behaviour if the parameter is hold on the fixed point side. Thus the system exhibits intermittent cyclic behaviour, manifesting
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Answer no 8: ORACLE (ORCL) Over a period of last 2 years the S&P 500 index has gone down by 40% as compared to its level on 26-June-2009. Oracle on the other has increased by approximately 10%. Since beta measures the volatility of a stock as compared to the market our estimated beta for Oracle will be 1.5. If both stock and market move in the same direction with same volatility the beat is 1. In this case we have added the difference (0.40 + 0.10) to 1 and have estimated the number (Beta)
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As I get further and further along in this simulation, I have noticed that I am beginning to understand what it takes as a marketing manager in order to be successful. Careful considerations must be made to be sure that the right decisions benefit both Minnesota Micromotors, Inc., and our customers. Our success comes from our customers’ success and loyalty that they have with this company. In finding ways to incorporate the important factors that matter most to our customers is what will bring
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CASE ANALYSIS FIN421: CORPORATE FINANCE I Section: 02 Spring 2015 Submitted to: Riyashad Ahmed Submitted by: Namiha Harris Ashfa (ID: 12105010) Zerin Jannat (ID: 12105011) Nibras Chowdhury (ID: 12105021) Zahidul Islam Siddiquee (ID: 12105032) Kazi Abrar Moeen (ID: 12104251) Year | Bartman Industries | Reynolds Incorporated | Winslow 5000 | | Stock Price | Dividend | Stock Price | Dividend | | 2011 | $ 24.250 | $ 2.50 | $ 62.750 | $ 3.000 | $ 12553.98 | 2010 | $
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