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II. Mean-variance portfolio analysis Stocks A and B have had the following returns over the previous five periods. 3% 2 5% 36% 4-2% 5-5% 2% 25% 6% -3% 1% 6. What is the standard deviation of stock A: (a) 2.76; (b) 3.32; (c) 3.69; (d) 4.72; 7. What is the correlation between stocks A and B: (a) 0.85; (b) 0.71; (c) -0.43; (d)-0.62; This question has double weight. Please fill out 8 and 9 with the same answer 8-9. What weight for Stock A would make the portfolio variance equal to 16.45: (a) 0.44; (b) 0.20; (c) 0.70; (d) 0.80; Now suppose that you have $10, 000 invested in the two stocks allocated at the weight you found in question 8 and 10. Compute the one day value at risk at the 99% confidence level: (a)-$571; (b)-$794; (c) -$392; (d) -$1,253; 11. If your value at risk at the 95% confidence level is-$2,430, what is the time horizon for this loss. (a) 5; (b) 10; (c) 17; (d) 22; 12. Assuming the risk free rate is zero, what is the Sharpe ratio. (a) 0.37;(b) 0.28; (c) 0.54; (d) 0.71; II. Mean-variance portfolio analysis Stocks A and B have had the following returns over the previous five periods. 3% 2 5% 36% 4-2% 5-5% 2% 25% 6% -3% 1% 6. What is the standard deviation of stock A: (a) 2.76; (b) 3.32; (c) 3.69; (d) 4.72; 7. What is the correlation between stocks A and B: (a) 0.85; (b) 0.71; (c) -0.43; (d)-0.62; This question has double weight. Please fill out 8 and 9 with the same answer 8-9. What weight for Stock A would make the portfolio variance equal to 16.45: (a) 0.44; (b) 0.20; (c) 0.70; (d) 0.80; Now suppose that you have $10, 000 invested in the two stocks allocated at the weight you found in question 8 and 10. Compute the one day value at risk at the 99% confidence level: (a)-$571; (b)-$794; (c) -$392; (d) -$1,253; 11. If your value at risk at the 95% confidence level is-$2,430, what is the time horizon for this loss. (a) 5; (b) 10; (c) 17; (d) 22; 12. Assuming the risk free rate is zero, what is the Sharpe ratio. (a) 0.37;(b) 0.28; (c) 0.54; (d) 0.71

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