DISCRETE MATHEMATICS WITH APPLICATION (
DISCRETE MATHEMATICS WITH APPLICATION (
5th Edition
ISBN: 9780357097717
Author: EPP
Publisher: CENGAGE L
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Chapter 12.2, Problem 50ES
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Write a computer algorithm that simulates the action of the given finite-state automaton by repeated application of the next-state function.

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1 (Expected Shortfall) Suppose the price of an asset Pt follows a normal random walk, i.e., Pt = Po+r₁ + ... + rt with r₁, r2,... being IID N(μ, o²). Po+r1+. ⚫ Suppose the VaR of rt is VaRq(rt) at level q, find the VaR of the price in T days, i.e., VaRq(Pt – Pt–T). - • If ESq(rt) = A, find ES₁(Pt – Pt–T).
2 (Normal Distribution) Let rt be a log return. Suppose that r₁, 2, ... are IID N(0.06, 0.47). What is the distribution of rt (4) = rt + rt-1 + rt-2 + rt-3? What is P(rt (4) < 2)? What is the covariance between r2(2) = 1 + 12 and 13(2) = r² + 13? • What is the conditional distribution of r₁(3) = rt + rt-1 + rt-2 given rt-2 = 0.6?
3 (Sharpe-ratio) Suppose that X1, X2,..., is a lognormal geometric random walk with parameters (μ, o²). Specifically, suppose that X = Xo exp(rı + ...Tk), where Xo is a fixed constant and r1, T2, ... are IID N(μ, o²). Find the Sharpe-ratios of rk and log(Xk) — log(Xo) respectively, assuming the risk free return is 0.

Chapter 12 Solutions

DISCRETE MATHEMATICS WITH APPLICATION (

Ch. 12.1 - Prob. 11TYCh. 12.1 - Prob. 12TYCh. 12.1 - Prob. 1ESCh. 12.1 - Prob. 2ESCh. 12.1 - Prob. 3ESCh. 12.1 - In 4—6, describe L1L2,L1L2, and (L1L2)*for the...Ch. 12.1 - Prob. 5ESCh. 12.1 - Prob. 6ESCh. 12.1 - Prob. 7ESCh. 12.1 - Prob. 8ESCh. 12.1 - In 7—9, add parentheses to emphasize the order of...Ch. 12.1 - Prob. 10ESCh. 12.1 - In 10—12, use the rules about order of precedence...Ch. 12.1 - Prob. 12ESCh. 12.1 - In 13—15, use set notation to derive the language...Ch. 12.1 - Prob. 14ESCh. 12.1 - Prob. 15ESCh. 12.1 - Prob. 16ESCh. 12.1 - In 16—18, write five strings that belong to the...Ch. 12.1 - Prob. 18ESCh. 12.1 - Prob. 19ESCh. 12.1 - Prob. 20ESCh. 12.1 - In 19—21, use words to describe the language...Ch. 12.1 - Prob. 22ESCh. 12.1 - In 22—24, indicate whether the given strings...Ch. 12.1 - Prob. 24ESCh. 12.1 - Prob. 25ESCh. 12.1 - Prob. 26ESCh. 12.1 - In 25—27, find a regular expression that defines...Ch. 12.1 - Let r, s, and t be regular expressions over...Ch. 12.1 - Prob. 29ESCh. 12.1 - Prob. 30ESCh. 12.1 - Prob. 31ESCh. 12.1 - In 31—39, write a regular expression to define the...Ch. 12.1 - Prob. 33ESCh. 12.1 - Prob. 34ESCh. 12.1 - Prob. 35ESCh. 12.1 - Prob. 36ESCh. 12.1 - Prob. 37ESCh. 12.1 - Prob. 38ESCh. 12.1 - Prob. 39ESCh. 12.1 - Prob. 40ESCh. 12.1 - Write a regular expression to define the set of...Ch. 12.2 - The five objects that make up a finite-state...Ch. 12.2 - The next-state table for an automaton shows the...Ch. 12.2 - In the annotated next-state table, the initial...Ch. 12.2 - A string w consisting of input symbols is accepted...Ch. 12.2 - The language accepted by a finite-state automaton...Ch. 12.2 - If N is the next-stale function for a finite-state...Ch. 12.2 - One part of Kleene’s theorem says that given any...Ch. 12.2 - The second part of Kleene’s theorem says that...Ch. 12.2 - A regular language is .__________Ch. 12.2 - Given the language consisting of all strings of...Ch. 12.2 - Find the state of the vending machine in Example...Ch. 12.2 - Prob. 2ESCh. 12.2 - Prob. 3ESCh. 12.2 - Prob. 4ESCh. 12.2 - Prob. 5ESCh. 12.2 - In 2—7, a finite-state automaton is given by a...Ch. 12.2 - In 2—7, a finite-state automaton is given by a...Ch. 12.2 - In 8 and 9, a finite-state automaton is given by...Ch. 12.2 - In 8 and 9, a finite-state automaton is given by...Ch. 12.2 - A finite-state automaton A given by the transition...Ch. 12.2 - A finite-state automaton A given by the transition...Ch. 12.2 - Prob. 12ESCh. 12.2 - Consider again the finite-state automaton of...Ch. 12.2 - In each of 14—19, (a) find the language accepted...Ch. 12.2 - Prob. 15ESCh. 12.2 - Prob. 16ESCh. 12.2 - Prob. 17ESCh. 12.2 - Prob. 18ESCh. 12.2 - Prob. 19ESCh. 12.2 - In each of 20—28, (a) design an automaton with the...Ch. 12.2 - Prob. 21ESCh. 12.2 - Prob. 22ESCh. 12.2 - Prob. 23ESCh. 12.2 - Prob. 24ESCh. 12.2 - Prob. 25ESCh. 12.2 - Prob. 26ESCh. 12.2 - In each of 20—28, (a) design an automaton with the...Ch. 12.2 - Prob. 28ESCh. 12.2 - Prob. 29ESCh. 12.2 - Prob. 30ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 32ESCh. 12.2 - Prob. 33ESCh. 12.2 - Prob. 34ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 36ESCh. 12.2 - Prob. 37ESCh. 12.2 - Prob. 38ESCh. 12.2 - Prob. 39ESCh. 12.2 - Prob. 40ESCh. 12.2 - Prob. 41ESCh. 12.2 - Prob. 42ESCh. 12.2 - Prob. 43ESCh. 12.2 - Prob. 44ESCh. 12.2 - Prob. 45ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 47ESCh. 12.2 - Prob. 48ESCh. 12.2 - Write a computer algorithm that simulates the...Ch. 12.2 - Prob. 50ESCh. 12.2 - Prob. 51ESCh. 12.2 - Prob. 52ESCh. 12.2 - Prob. 53ESCh. 12.2 - a. Let A be a finite-state automaton with input...Ch. 12.3 - Given a finite-state automaton A with...Ch. 12.3 - Prob. 2TYCh. 12.3 - Given states s and t in a finite-state automaton...Ch. 12.3 - Prob. 4TYCh. 12.3 - Prob. 5TYCh. 12.3 - Consider the finite-state automaton A given by the...Ch. 12.3 - Consider the finite-state automaton A given by the...Ch. 12.3 - Consider the finite-state automaon A discussed in...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Prob. 7ESCh. 12.3 - Prob. 8ESCh. 12.3 - Prob. 9ESCh. 12.3 - Prob. 10ESCh. 12.3 - Prob. 11ESCh. 12.3 - Prob. 12ESCh. 12.3 - Prob. 13ESCh. 12.3 - Prob. 14ESCh. 12.3 - Prob. 15ESCh. 12.3 - Prob. 16ESCh. 12.3 - Prob. 17ESCh. 12.3 - Prob. 18ES
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