solve the optimal weightage (including short-selling) for each stock in the portfolio in accordance to the covariance matrix. By multiplying the above matrix yields expected return on this passive portfolio as well as other statistical tools like variance and standard deviation. Hence‚ Sharpe ratio is computed and indicates the risk-adjusted return on the portfolio 2. STEPS FOR FRONTIER TO BE ADDED Result: The covariance matrix is as follows: VCV Matrix MMM T CAT UTX WFC PFE KO ORCL INTC MRK
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(ISOM2500)[2012](f)midterm1~=0zvopee^_78631.pdf downloaded by mhwongag from http://petergao.net/ustpastpaper/down.php?course=ISOM2500&id=0 at 2013-12-16 02:44:12. Academic use within HKUST only. Business Statistics‚ ISOM2500 (L3‚ L4 & L5) Practice Quiz I 1. The following bar chart describes the results of a survey concerning the relevance of study to present job by school. Focus on the School of Business and Management. What are the mode and the median respectively? (a) Relevant‚ Neutral (b) Relevant
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Centering HLM offers the options to use predictors as they are‚ or to use them after grand- or group-mean centering them. The choice of centering method is dictated by the question studied‚ and great care should be taken to select a form of centering appropriate to the model considered‚ as the interpretation of coefficients in the model is dependent on the type of centering used. We start with an example where a simple linear transformation of a predictor is used to ensure that the interpretation
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executive salary for the following groups of industries: I. Industrial and Basic Materials II. Industrial and Technology III. Basic Materials and Technology Before conducting the test above‚ perform a test on equivalent population variances for each pair of company type. In a brief paragraph‚ comment of the conclusions of the test results. d. Determine the upper and lower range salary values for each industry at 90% and 95% confidence intervals e. Perform a test of normality
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transmission. (2 marks) 4. Consider a random variable M with the probabilities specified in the following figure: k 3 6 9 12 15 P (M = k) (i) Find E (M). (2 marks) (ii) Find E (M2). (2 marks) (iii) Find the variance of the random variable M. (2 marks) (iv) Find the standard deviation of the random variable M. (2 marks) 5. 1200 employees were surveyed about their meals preference in the cafeteria. The following information was obtained:
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Answers to Warm-Up Exercises E8-1. Total annual return Answer: ($0 $12‚000 $10‚000) $10‚000 $2‚000 $10‚000 20% Logistics‚ Inc. doubled the annual rate of return predicted by the analyst. The negative net income is irrelevant to the problem. E8-2. Expected return Answer: Analyst 1 2 3 4 Total Probability 0.35 0.05 0.20 0.40 1.00 Return 5% 5% 10% 3% Expected return Weighted Value 1.75% 0.25% 2.0% 1.2% 4.70% E8-3. Comparing the risk of two investments Answer: CV1 0.10 0.15 0.6667 CV2 0.05
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Business Statistics I: QM 1 Lecture N otes by Stefan W aner (5th printing: 2003) Department of Mathematics‚ Hofstra University BUSINESS STATISTCS I: QM 001 (5th printing: 2003) LECTURE NOTES BY STEFAN WANER TABLE OF CONTENTS 0. Introduction................................................................................................... 2 1. Describing Data Graphically ...................................................................... 3 2. Measures of Central Tendency
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one-way ANOVA and linear regression are performed to investigate the effectiveness of individual change management practices elements and overall change management practices implementation in controlling project change cost‚ respectively. The data analysis results show that individual change management practices elements have different levels of leverage in helping to control project change cost and that using change management practices is truly helpful in lowering the proportion of change cost in
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Mathematics Department Tutorial Sheet No. 3 MAL250(Probability and Stochastic Processes) 1. The percentage of alcohol (100X ) in a certain compound may be considered as a random variable‚ where X (0 < X < 1) has pdf fX (x) = 20x3 (1 − x)‚ 0 < x < 1. Suppose that the selling price of the above compound depends on the alcohol contents. Specifically‚ if 1/3 < X < 2/3‚ the compound sells for c1 dollars/gallon otherwise it sells for c2 dollars/gallon. If the cost is c3 dollars/gallon‚ find the probability
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expected real returns you were getting earlier. If that is the case‚ use five expected real return levels that you can attain. viii) Compare the investment opportunities implied by part (vi) to those in part (vii). ix) Explain the pros of the mean variance paradigm. x) Explain the cons. I will describe how to perform portfolio optimization in class. Excel is equipped with an optimizer (Solver) that requires you to specify what you are trying to maximize or minimize‚ the variables (weights)
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