A.Which statement most accurately describes the Jarque-Bera test statistic for n
ID: 2777815 • Letter: A
Question
A.Which statement most accurately describes the Jarque-Bera test statistic for normality? The statistic is based on the sample data’s first, second, and third moments.
The larger the statistic is, the more likely that the data is distributed normally.
The null hypothesis is a joint hypothesis that skewness and excess kurtosis are zero.
B.You are risk averse, and you would like to invest your money in one of three plans as a “stand-alone” investment. If the expected returns for plans A and B, are 9% and 10%, respectively, and the standard deviations for plans A and B are .24 and .3, which plan is preferable?
Plan B
Plan A
C.What is the theoretical standard deviation of the risk-free rate?
One
Zero
Equal to the market
D.Given a standard deviation of .011, a skewness of 0, excess kurtosis of 0 and sample size of 250, what is the Jarque-Bera statistic?
.000
.011
.0275
E.If you have $200 invested in Stock A, $300 in Stock B, $250 in Stock C, and the remainder of your $1000 invested in Stock D and each stock has an expected return of 4%, 2%, 15% and 12% respectively, what is the expected return on your portfolio?
8.15%
10.34%
111.78%
1.The larger the statistic is, the more likely that the data is distributed normally.
2.The null hypothesis is a joint hypothesis that skewness and excess kurtosis are zero.
Explanation / Answer
Answer-1:
Jarque-Bera test statistic for normality is most accurately described is under:
The null hypothesis is a joint hypothesis that skewness and excess kurtosis are zero.
Answer-2:
If an investor is risk averse, he would like to invest in the asset having lower standard deviation, hence the investor would like to invest in Plan A as it has lower standard deviation.
Answer-3:
Theoretical standard deviation of the risk-free rate is ZERO. Risk free security does not have any standard deviation because it proived fixed rate of return.
Answer-5:
Calculation of expected return on your portfolio:
Stock
Return
Amount invested
weight
A
B
C=B/1000
A*C
A
4%
$ 200
0.2
0.80%
B
2%
$ 300
0.3
0.60%
C
15%
$ 250
0.25
3.75%
D
12%
$ 250
0.25
3.00%
Total
$ 1,000
Expected Return
8.15%
Stock
Return
Amount invested
weight
A
B
C=B/1000
A*C
A
4%
$ 200
0.2
0.80%
B
2%
$ 300
0.3
0.60%
C
15%
$ 250
0.25
3.75%
D
12%
$ 250
0.25
3.00%
Total
$ 1,000
Expected Return
8.15%
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