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Consider the following time-series observations on realized returns on the stocks of company A, and...

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Accounting

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Consider the following time-series observations on realized returns on the stocks of company A, and company B, as well as the returns on the market portfolio respectively Table 1: Realized returns on alternative assets 115% -3% 2% 10 31-15% 10% | 12 2.5 7 0.5 2.5 -0.5 6 1. Compute the mean and the standard deviation of these three assets. 2. Compute pmA the correlation coefficients between asset m and asset A, and pm,B the correlation coefficients between asset m and asset B 3. Consider a portfolio-p with Wi-0.4 in stock A. W2-1-0.4 0.6 in stock B. This portfolio would have generated an additional time series of historical returns Cornpute the beta of this portfolio, by computing COV (p using data on rp and r 4. Estimate BA and BB separately, and compute alternatively 5. Compare , and ;, comment very briefly

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