Result 1 of 1 in this book for Suppose that an investor has shorted shares worth $5,000 of Company A and bought shares worth $3,000 of Company B. The proportional bid-offer spread for Company A is 0.01 and the proportional bid- offer spread for Company B is 0.02. What does it cost the investor to unwind the portfolio? Suppose the proportional bid-offer spreads for the two companies are normally distributed. For Company A, the bid-offer spread has a mean of 0.01 and a standard deviation of 0.01. For Company B, the proportional bid-offer spread has a mean of 0.02 and a standard deviation of 0.03. What is the cost of unwinding that the investor is 99% confident will not be exceeded? Clear search X
Result 1 of 1 in this book for Suppose that an investor has shorted shares worth $5,000 of Company A and bought shares worth $3,000 of Company B. The proportional bid-offer spread for Company A is 0.01 and the proportional bid- offer spread for Company B is 0.02. What does it cost the investor to unwind the portfolio? Suppose the proportional bid-offer spreads for the two companies are normally distributed. For Company A, the bid-offer spread has a mean of 0.01 and a standard deviation of 0.01. For Company B, the proportional bid-offer spread has a mean of 0.02 and a standard deviation of 0.03. What is the cost of unwinding that the investor is 99% confident will not be exceeded? Clear search X
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Result 1 of 1 in this book for Suppose that an investor has shorted shares worth
$5,000 of Company A and bought shares worth $3,000 of Company B. The
proportional bid-offer spread for Company A is 0.01 and the proportional bid-
offer spread for Company B is 0.02. What does it cost the investor to unwind
the portfolio? Suppose the proportional bid-offer spreads for the two
companies are normally distributed. For Company A, the bid-offer spread has
a mean of 0.01 and a standard deviation of 0.01. For Company B, the
proportional bid-offer spread has a mean of 0.02 and a standard deviation of
0.03. What is the cost of unwinding that the investor is 99% confident will not
be exceeded?
Clear search X
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