Consider the following scenario analysis involving asset X and asset .pdf

•

0 j'aime•8 vues

Consider the following scenario analysis involving asset X and asset Y: Compute the expected returns and the standard deviations for both assets. Compute the correlation coefficient between the returns on the two assets. Can you build a portfolio of assets X and Y with zero risk? Prove that your portfolio indeed riskless. Solution Expected Return Asset X E(RX) = 0.1*.30+0.2*.20+0.4*0.15+0.2*0.10+0.1*(0.50) = 10% Asset Y E(RY) = 0.1*0.12+0.2*0.10+0.4*0.09+0.2*0.08+0.1*(0.04) = 8% Standard Deviation SD(Rx) = [0.1 × (0.30-0.10)2 + 0.2 × (0.20-0.10)^2+ 0.4*(0.15-0.10)^2+ 0.2*(0.10- 0.10)^2+0.10*(-0.50-0.10)^2]0.5= 0.20736441= 20.74% SD(Ry) = [0.1 × (-0.12-0.08)2+ 0.2 × (0.10-0.08)^2+ 0.4*(0.09-0.08)^2+ 0.2*(0.08- 0.08)^2+0.10*(-0.40-0.08)^2]0.5 = 0.04147288= 4.15% Calculate the correlation coefficient between the retrurn on the two assets. Firts we need to find covariance COV(Rx,Ry) = 0.1*(0.30-0.10)*(0.12-0.08) + 0.2*(0.20-0.10)*(0.10-0.08)+0.4*(0.15- 0.10)*(0.09-0.08)+0.2*(0.10-0.10)*(0.08-0.08)+0.1*(-0.50-0.10)*(-0.04-0.08) = 0.0086 CORR(RA,RB) = 0.0086/ (0.20736441 × 0.04147288) = 1.

Formation

Contenu connexe

Similaire à Consider the following scenario analysis involving asset X and asset .pdf

H.W (2) ... advanced material course ... aero494

Mohamed Helmy

Basic concepts of curve fittings

Tarun Gehlot

Lecture4 binary-numbers-logic-operations

markme18

Ch 56669 Slides.doc.2234322344443222222344

ohenebabismark508

mean_variance

FTSA Academy

decision theory how to make a decision in numbers

emailfortestjj

LP Graphical Solution

unemployedmba

Jacobi and gauss-seidel

arunsmm

Lenier Equation

Khadiza Begum

Regression

LavanyaK75

Ols

Camila Concha Riquelme

A focus on a common fixed point theorem using weakly compatible mappings

Alexander Decker

11.a focus on a common fixed point theorem using weakly compatible mappings

Alexander Decker

Powerpoint2.reg

Mili Sabarots

Applied Business Statistics ,ken black , ch 3 part 2

AbdelmonsifFadl

Solution of matlab chapter 3

AhsanIrshad8

08lowess

NASHON KHAMALA

Statistics lecture 11 (chapter 11)

jillmitchell8778

Digital logic circuits important question and answers for 5 units

Lekashri Subramanian

ISI MSQE Entrance Question Paper (2010)

CrackDSE

Similaire à Consider the following scenario analysis involving asset X and asset .pdf (20)

H.W (2) ... advanced material course ... aero494

Basic concepts of curve fittings

Lecture4 binary-numbers-logic-operations

Ch 56669 Slides.doc.2234322344443222222344

mean_variance

decision theory how to make a decision in numbers

LP Graphical Solution

Jacobi and gauss-seidel

Lenier Equation

Regression

Ols

A focus on a common fixed point theorem using weakly compatible mappings

11.a focus on a common fixed point theorem using weakly compatible mappings

Powerpoint2.reg

Applied Business Statistics ,ken black , ch 3 part 2

Solution of matlab chapter 3

08lowess

Statistics lecture 11 (chapter 11)

Digital logic circuits important question and answers for 5 units

ISI MSQE Entrance Question Paper (2010)

Plus de akashfashion

Consider the table displaying the sample proportions that fell in t.pdf

akashfashion

Consider the function given by Sketch Fx(x) and show that Fx(x) has .pdf

akashfashion

Defendants in the Middle Ages is this adverse selection or moral hazard Defendants in the Middle Ages is this adverse selection or moral hazard Solution rticle excerpt ABSTRACT The term \"moral hazard\" when interpreted literally has a strong rhetorical tone, which has been used by stakeholders to influence public attitudes to insurance. In contrast, economists have treated moral hazard as an idiom that has little, if anything, to do with morality. This article traces the genesis of moral hazard, by identifying salient changes in economic thought, which are identified within the medieval theological and probability literatures. The focus then shifts to compare and contrast the predominantly, normative conception of moral hazard found within the insurance-industry literature with the largely positive interpretations found within the economic literature. INTRODUCTION The term \"moral hazard\" originated in the insurance literature. Its modern use in economics is understood--by economists--to describe loss-increasing behavior that arises under insurance. As Pauly argued ... the problem of \"moral hazard\" in insurance has, in fact, little to do with morality but can be analyzed with orthodox economic tools. (Pauly, 1968, p. 531) Some economic definitions focus on ex ante behavior: moral hazard is defined as the \"... impact of insurance on the incentives to reduce risk\" (Winter, 2000, p. 155). Similarly, the contemporary text Intermediate Microeconomics simply states that in the context of insurance the \".. lack of incentive to take care is called moral hazard\" (Varian, 2010, p. 724). More formally, if the expected loss from an insured event is defined as E(L) = [rho]L, where p is the probability of the event and L is the loss, the foregoing definitions restrict moral hazard to the impacts of insurance on [rho]. Moral hazard is also manifested when the behavior of insureds affects L, per the following definition: Ex post moral hazard concerns the effects of incentives on claiming actual losses (Abbring, Chiappori and Zavadil, 2007, p. 1) whereas more catholic definitions of the term encapsulate both types of moral hazard. For example, in The Economics of Agency, Arrow (1985, p. 38) simply defined moral hazard as \"hidden action\" by the agent. In each of the foregoing cases, it is clear that (1) moral hazard is defined as a positive concept and (2) that the two words form an idiom, that is, \"[... a] group of words established by usage as having a meaning not deducible from those of the individual words\" (Oxford English Dictionary [OED], 2008). The English language contains many idioms: clearly, not all \"teething problems\" require a dentist and not all \"free trade\" is free. The concept of moral hazard has been used by economists to analyze a \"wide variety of public policy scenarios, from unemployment insurance, corporate bailouts, to natural resource policy\" (Hale, 2009, p. 3). For example, when discussing the management of the Global .

Defendants in the Middle Ages is this adverse selection or moral .pdf

akashfashion

Define Differential Leveling Solution Differential leveling is the process of measuring vertical distances from a known elevation point to determine elevations of unknown points. The most common methods to determine elevation are through the use of 1) a compensator type, automatic (engineering level) and level rod(s), and 2) an electronic digital barcode leveling instrument with barcode rod. A thorough knowledge of leveling principles and proper application of methods and equipment will prevent costly delays and generate the needed results and accuracy..

Define Differential LevelingSolutionDifferential leveling is th.pdf

akashfashion

Decide for yourself where f(z) is differentiable. Are there any points where f(z) = (z)^2 is differentiable? By definition the derivative (if it exists) is defined by the following limit: Decide for yourself if the limit exists by considering the following: Solution f(z)=(z^-)^2 write ?z in its polar form rei? , f(z0 + ?z) ? f(z0) ?z = z0 + ?z ? z0 ?z = ?z ?z = re?i? rei? = e ?2? i So ? if we send ?z to zero along the real axis, so that ? = 0 or ? = ? and hence e ?2? i = 1, f(z0+?z)?f(z0) ?z tends to 1, and ? if we send ?z to 0 along the imaginary axis, so that ? = ? 2 or 3? 2 and hence e ?2? i = ?1, f(z0+?z)?f(z0) ?z tends to ?1. Thus lim?z?0 f(z0+?z)?f(z0) ?z does not exist and f(z) =.

Decide for yourself where f(z) is differentiable. Are there any poi.pdf

akashfashion

Dec. 2002 Aug. 2004 Mar. 2005 May 2005 Aug. 2005 Dec 2005 3.28 16.31 33.95 21.00 30.47 7.44 Jan 2007 Mar. 2008 Oct. 2008 Nov 2009 Feb. 2010 Aug. 2010 12.36 7.07 11.44 33.53 44.86 45.74 29. Marjory Duffin purchased ABCD stock in December 2002 and sold it in August 2010. Calculate her annual return on a simple interest basis to the nearest 0.01%. Solution The money was invested for 7 years and 8 months = 7*12 + 8 = 92 months. Let r be the annual rate of interest, then: Price in August = Price in December * (1 + 92r/12) => Annual Rate of interest = (12/92)*(Price in August 2010/Price in December 2002 - 1) => Annual Rate of interest = (12/92)*(45.74/3.28 - 1) = 1.6885 = 168.85%.

Dec. 2002 Aug. 2004 Mar. 2005 May 2005 Aug. 2005 Dec 2005 3.28 16.31 .pdf

akashfashion

//d2vlcm61l7u1fs.cloudfront.net/media%2F8be%2F8be8c7f7-fdd9-4547-80f7- 2951a4f62707%2FphpC0aMky.png From Delta1 Tauri, Delta3 Tauri, Epsilon Tauri, Gamma Tauri? Theta 1 Tauri 1. notice the bright star, Aldebaran in the area of the Hyades cluster. Is Aldebaran a menber of the Hyades cluster? how can you tell? 2.which star in this cluster is the largest in size? 3. which stars, if any, have moved off the main sequence? if so, what is their evolutionary stage? index File Edit View Options Labels LiveSky Favourites Window Help Time and Date Time Flow Rate Mewing Location Gaze Zoom (Width x Height) 15538 e®O3OA 11 2016 ADI Alt 68i Az 170i Columbia, United States Now Sunrise Sunset Spaceship -20h This morning 1:55:38 +20h -10h 5.0h +5.0h +10h Graph tems + Location Hertzsprung-Russell 10 Pleiades Sun The Moon Supergian .Epsilon Tauri White dwarfs 10 OB A F A F G K H-R Options Delta 3 Tauri Delta3 Tauri Use absolute magnitudes Delta 1 Tauri L Automatic ranges mage BrightneSS Distance cut-off 0.20 y (minimum) 300.00 Hyades ly (maximum) Theta2 Tauri Gamma Tauri Labels Gridlines Main sequence Regions Solution 1. Albaren is not the truememebr of the Hyades cluster but it guides the direction of this cluster . The Hyades cluster is easy to find by using Orion’s Belt, a compact and noticeable line of three blue-white stars in the constellation Orion the Hunter. a line if drawn westward (towards sunset direction) through the Belt stars, and this will locate the bright ruddy star Aldebaran, the Bull’s fiery red eye.as It is the brightest star of all the stars in the hyades group forming a V shape. The Hyades star cluster can be found in the south on winter evenings and is edging toward the western half of the sky by spring. It has the shape of the letter V. The brightest star in the V in Aldebaran. 2. Gamma tauri is the largest . 3. If the sequece is disturbe then the the total 8 white dwarfs in the cluster core,corresponds to the final evolutionary stage of its original population of B-type stars.Their preceding evolutionary stage is currently represented by the cluster\'s four red clump giants. Their present spectral type is K0 III, but all are actually \"retired A stars\".

d2vlcm61l7u1fs.cloudfront.netmedia2F8be2F8be8c7f7-fdd9-4547-80.pdf

akashfashion

D. Cristol et al. published results of the ir studies of two subspecies of dark-eyed juncos in the article \"Migratory Dark-Eyed Juncos, Junco Hyemalis, Have better Spatial Memory and Denser Hippocampal Neurons than Nonmigratory Conspecifics\" (Animal Behaviour, Vol 66, pp. 317- 328). One of the subspecies migrates each year and the other does not migrate. Several physical characteristics of 14 birds of each subspecies were measured, one of which was wing length. the following data, based on results obtained by the researchers, provide the wing lengths, in millimeters (mm), for the sample of two subspecies. At 1% significance level, do the data provide enough evidence to conclude that the mean wing lengths for the two subspecies are different. Solution H0:mean1=mean2 H1:mean1 not equal to mean 2 Mean1=82.1 Mean2=84.9 S1=1.5 S2=1.7 n1=n2=14 pooled variance=((n1-1)S1^2+(n2-1)S2^2)/n1+n2-2=2.57 Sp=1.6 t0=(82.1-84.9)/1.6*sqrt(1/14+1/14) =-4.63 t for 99% confidence and 13 df is:-3.01 since calculated is less than table value we fail to reject null hypothesis.

D. Cristol et al. published results of the ir studies of two subspeci.pdf

akashfashion

Contact POTW to find out how the facility process and disposes their waste water solids.please post the information. Course name is : waste water engineering Text book: metcalf and eddy 4thor 5th edition waste water engineering Contact POTW to find out how the facility process and disposes their waste water solids.please post the information. Contact POTW to find out how the facility process and disposes their waste water solids.please post the information. Course name is : waste water engineering Text book: metcalf and eddy 4thor 5th edition waste water engineering Solution Waster water solids can be disposed of many ways like by dilution and sewage farming. Coming to dilution all the sewage with solids are mixed with flowing waters like rivers or oceans.The sewage will be purified by the process called Self Purification Process.The solids in the waste water will be decomposed by the bacterial action in the presene of air.At certatin distance the water will be again become normal from the mixing point. Next method was Sewage farming which disposal of sewage on land.This method is used for land filling.I needs a large area away for residential to avoid odour and nuiscence..

Contact POTW to find out how the facility process and disposes .pdf

akashfashion

Consider two groups of students B1 are students who received high sc.pdf

akashfashion

Consider the population of persons who resided in New Orleans before Hurricane Katrina. A person is selected at random from this population. Let A denote the event that the person left New Orleans before Katrina arrived, and let B denote the event that the person belonged to a household whose 2004 income was below the federal poverty line. Consider the population of all couples who married in the United States in 1995. A couple is selected at random from this population. Let A denote the event that the couple cohabited (lived together) before marrying, and let B denote the event that the couple had divorced by 2005. It is dependent or independent event? Solution independent event.

Consider the population of persons who resided in New Orleans before .pdf

akashfashion

Consider the following hypothesis test. Q.What is the val.pdf

akashfashion

Consider three bonds that have the same principle value of V = $1,000 and a coupon interest rate of I = 8%, but one matures at 5 years, another at 15 years, and the third at 30 years. Complete the following table by calculating the present value and the percentage change in the present value of each maturity when the market interest rate decrease to i = 7% and when it increases to i = 9%. Consider the relationship between the bond price (the vertical axis) and the market interest rate (the horizontal axis) presented on the following graph. The graph shows the three bonds with maturities at 5, 15, and 30 years. Solution Answer Present value and % change in present value when market interest rate decreases to 7% 5 year maturity Figures in $ Year Interest-8% Redemption price Cashflow Discount rate : 7% Present value A B C D A+B C*D 1 80 0 80 0.93 74.77 2 80 0 80 0.87 69.88 3 80 0 80 0.82 65.30 4 80 0 80 0.76 61.03 5 80 1000 1080 0.71 770.03 Total Present value (m) 1041.00 Face value (n) 1000.00 Change in Present value (o) (m-n) 41.00 % Change in Present value( o*100/n ) 4.10 15 year maturity Figures in $ Year Interest-8% Redemption price Cashflow Discount rate : 7% Present value A B C D A+B C*D 1 80 0 80 0.93 74.77 2 80 0 80 0.87 69.88 3 80 0 80 0.82 65.30 4 80 0 80 0.76 61.03 5 80 0 80 0.71 57.04 6 80 0 80 0.67 53.31 7 80 0 80 0.62 49.82 8 80 0 80 0.58 46.56 9 80 0 80 0.54 43.51 10 80 0 80 0.51 40.67 11 80 0 80 0.48 38.01 12 80 0 80 0.44 35.52 13 80 0 80 0.41 33.20 14 80 0 80 0.39 31.03 15 80 1000 1080 0.36 391.44 Total Present value (m) 1091.08 Face value (n) 1000 Change in Present value (o) (m-n) 91.08 % Change in Present value( o*100/n ) 9.11 30 year maturity Figures in $ Year Interest-8% Redemption price Cashflow Discount rate : 7% Present value A B C D A+B C*D 1 80 0 80 0.93 74.77 2 80 0 80 0.87 69.88 3 80 0 80 0.82 65.30 4 80 0 80 0.76 61.03 5 80 0 80 0.71 57.04 6 80 0 80 0.67 53.31 7 80 0 80 0.62 49.82 8 80 0 80 0.58 46.56 9 80 0 80 0.54 43.51 10 80 0 80 0.51 40.67 11 80 0 80 0.48 38.01 12 80 0 80 0.44 35.52 13 80 0 80 0.41 33.20 14 80 0 80 0.39 31.03 15 80 0 80 0.36 29.00 16 80 0 80 0.34 27.10 17 80 0 80 0.32 25.33 18 80 0 80 0.30 23.67 19 80 0 80 0.28 22.12 20 80 0 80 0.26 20.67 21 80 0 80 0.24 19.32 22 80 0 80 0.23 18.06 23 80 0 80 0.21 16.88 24 80 0 80 0.20 15.77 25 80 0 80 0.18 14.74 26 80 0 80 0.17 13.78 27 80 0 80 0.16 12.87 28 80 0 80 0.15 12.03 29 80 0 80 0.14 11.25 30 80 1000 1080 0.13 141.88 Total Present value (m) 1124.09 Face value (n) 1000.00 Change in Present value (o) (m-n) 124.09 % Change in Present value( o*100/n ) 12.41 Present value and % change in present value when market interest rate increases to 9% 5 year maturity Figures in $ Year Interest-8% Redemption price Cashflow Discount rate : 9% Present value A B C D A+B C*D 1 80 0 80 0.92 73.39 2 80 0 80 0.84 67.33 3 80 0 80 0.77 61.77 4 80 0 80 0.71 56.67 5 80 1000 1080 0.65 701.93 Total Present value (m) 961.10 Face value (n) 1000.00 Change in Present value (o) (m-n) .

Consider three bonds that have the same principle value of V = $1,000.pdf

akashfashion

Plus de akashfashion (13)