(a) We consider an investment problem with 1 riskfree asset (with return rf) and Nrisky assets (N > 2). We let Wp, Wo be any two portfolios lies on frontier curve.Without using the explicit formula of minimum variance portfolio, show that anyportfolio w on the frontier curve can be expressed asW = BWp + (1-P)wo,where is some real number.

Answered: (a) We consider an investment problem…

Advanced Engineering Mathematics

10th Edition

ISBN:9780470458365

Author:Erwin Kreyszig

Publisher:Erwin Kreyszig

Chapter2: Second-order Linear Odes

Section: Chapter Questions

Problem 1RQ

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Heteroscedasticity Stigler and Friedland (1983) conducted a study to determine whether the separation of company control from company ownership affects company profits. Using data from 69 companies in the United States, the authors estimate the following model: profiti = α + β1asseti + β2management_controli + ei Where i is company and: profiti = annual profit (in million dollar) asseti = company asset (in million dollar) management_controli = dummy variable that is worth one if the control of the company is held by the manager The regression results are presented in the table in the picture a. Explain whether the statements below are TRUE, FALSE, or CANNOT BE DETERMINED. "If there is a heteroscedasticity problem, the confidence interval of the OLS estimator is not valid." b. Determine the 95% confidence interval for the parameter 2, what can you conclude?
(a) We consider an investment problem with 1 riskfree asset (with return rf) and N risky assets (N > 2). We let Wp, Wo be any two portfolios lies on frontier curve. Without using the explicit formula of minimum variance portfolio, show that any portfolio w on the frontier curve can be expressed as W = BWp + (1-P)wo, where is some real number.
2. Let preferences of both individuals be given by log(c) + log(c). Suppose that the endowment vectors are wA = (5, 10) and wB clearing price and the equilibrium consumption bundles of each individual. (10, 5). Solve for the market
17. In Problem 11 from the previous section, westated that the damage amount is normally distributed. Suppose instead that the damage amount istriangularly distributed with parameters 500, 1500,and 7000. That is, the damage in an accident canbe as low as $500 or as high as $7000, the mostlikely value is $1500, and there is definite skewnessto the right. (It turns out, as you can verify in @RISK,that the mean of this distribution is $3000, thesame as in Problem 11.) Use @RISK to simulatethe amount you pay for damage. Run 5000 iterations. Then answer the following questions. Ineach case, explain how the indicated event wouldoccur.a. What is the probability that you pay a positiveamount but less than $750?b. What is the probability that you pay more than$600?c. What is the probability that you pay exactly $1000(the deductible)?
9) The following results are from a regression where the dependent variable is GRADUATION RATE and the independent variables are % OF CLASSES UNDER 20, % OF CLASSES OF 50 OR MORE, STUDENT/FACULTY RATIO, ACCEPTANCE RATE, 1ST YEAR STUDENTS IN TOP 10% OF HS CLASS. The data were split into 2 samples and the following regression results were obtained from the split data. c) Based on a comparison of the two sets of output, does it appear that there is heteroscedasticity in the data set? Explain. Be sure to write down your null and alternative hypothesis, calculate the test statistic, and find your critical value (test at the 5% level of significance).
Consider two assets with returns: rị = 3 (:) r2 = in two states. If the 1 has a return (:) portfolio z = find the value of a.
13. A researcher estimates the following regression model: Yt = a + ßxt + Ut where yt and xt are both non-stationary variables. Which of the following statements is correct? a) This necessarily leads to spurious results b) The Durbin-Watson d statistic will be larger than the R² c) Including a time trend in the regression specification will provide meaningful results d) Differencing both variables may provide meaningful results but could lose some useful information
Q3) The table below show the number of hours(x) 20 students spent studying spansh in the month before an examination and their percentage score(y). A) Determine SEE If you have the model y = 0.5x +49 B)Find the fit line ( Regrsion line) for these points Hours of study (x) Exam mark%(y) 22 70 21 13 33 25 32 40 15 26 27 18 19 10 21 44 46 17 28 19 20 62 90 58 78 80 66 56 62 68 50 74 76 57 69 58 64 dakhee

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