There are two assets: bitcoin and pokemon card. After 1 year, the return of the bitcoin is denoted by B and the pokemon card by C. We know that (a) B=-0.07+1.12, where Z is a random variable with a standard normal distribution N(0, 1). (b) C=-0.39 +2.7X, where X is a Student-t random variable with degrees of freedom 7. (c) Z and X are independent (hence, B and C are independent, too). (d) A portfolio is constructed as P = wB+(1-w)C, where w=0.3. What is the portfolio's weight on the pokemon card? (the next question also needs condition (a)- (d))

There are two assets: bitcoin and pokemon card. After 1 year, the return of the bitcoin is denoted by B and the pokemon card by C. We know that (a) B=-0.07+1.12, where Z is a random variable with a standard normal distribution N(0, 1). (b) C=-0.39 +2.7X, where X is a Student-t random variable with degrees of freedom 7. (c) Z and X are independent (hence, B and C are independent, too). (d) A portfolio is constructed as P = wB+(1-w)C, where w=0.3. What is the portfolio's weight on the pokemon card? (the next question also needs condition (a)- (d))

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

See similar textbooks

Similar questions

An investor has two prototypes for invention, A and B, and needs the same amount of loan L for each. It is expected that either one of these prototypes will take a year to develop and will yield a reward of either RA or 0 for prototype A and either RB or 0 for prototype B. The probabilities of positive payoff are given by Prob(RA)=PA Prob (RB) =PB And these probabilities are known to the bank. The bank will only lend if the expected repayment at the end of the year generates a yield of i. If the prototype given a 0 reward, then the bank receive no repayment. Assuming risk neutrality on the part of the bank, explain why the repayments when either prototype is a success are given by (1+i) LPA, (1+i) LPB for A, B respectively. If the loan were granted, show that the expected payoff for the inventor after the bank has been repaid is given by PARA-(1+i) LPBRB-(1+i)L for A, B respectively. Under what conditions…
Waiting periods. Fill in the number of periods for the following table,, using one of the three methods below: In (FV/PV) In (1 + r) a. Use the waiting period formula, n = b. Use the TVM keys from a calculator. c. Use the TVM function in a spreadsheet. Present Value 760.13 Future Value $ 1,585.01 Interest Rate 3% Number of Periods years (Round to the nearest whole number.)
Consider the following asset with it's returns over the last 3 years. The arithmetic mean is 8% 1yr 2yr 3yr 8% 4% 6% What is the geometric mean? (Be sure to go out at least 4 decimal places.) Respuesta:
PV at 10% at the end of year 2. How do you get 0.82645? Do you use a calculator, if so, how do you work it out or written?
Find the future value of the following annuities. The first payment in these annuities is made at the end of Year 1, so they are ordinary annuities. (Notes: If you are using a financial calculator, you can enter the known values and then press the appropriate key to find the unknown variable. Then, without clearing the TVM register, you can "override" the variable that changes by simply entering a new value for it and then pressing the key for the unknown variable to obtain the second answer. This procedure can be used in many situations, to see how changes in input variables affect the output variable. Also, note that you can leave values in the TVM register, switch to Begin Mode, press FV, and find the FV of the annuity due.) Do not round intermediate calculations. Round your answers to the nearest cent. $600 per year for 10 years at 10%. $ $300 per year for 5 years at 5%. $ $600 per year for 5 years at 0%. $ Now rework parts a, b, and c assuming that payments are made…
ing annuities. The first payment in these annuities is made at the end of Year 1, so they are ordinary annuities. Do not round intermediate calculations. Round your answers to the nearest cent. (Notes: If you are using a financial calculator, you can enter the known values and then press the appropriate key to find the unknown variable. Then, without clearing the TVM register, you can "override" the variable that changes by simply entering new value for it and then pressing the key for the unknown variable to obtain the second answer. This procedure can be used in many situations, to see how changes in input variables affect the output variable. Also, note that you can leave values in the TVM register, switch to Begin Mode, press FV, and find the FV of the annuity due.) a. $600 per year for 10 years at 6%. $ b. $300 per year for 5 years at 3%. $ c. $600 per year for 5 years at 0%. $ d. Now rework parts a, b, and c assuming that payments are made at the beginning of each year; that is,…
10

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS