Mathematical Applications for the Management, Life, and Social Sciences
12th Edition
ISBN: 9781337625340
Author: Ronald J. Harshbarger, James J. Reynolds
Publisher: Cengage Learning
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Chapter 12.3, Problem 28E
To determine
To calculate: The value of the
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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).
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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
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Chapter 12 Solutions
Mathematical Applications for the Management, Life, and Social Sciences
Ch. 12.1 - 1. True or false:
(a)
(b)
Ch. 12.1 - Prob. 2CPCh. 12.1 - 1. If what is
Ch. 12.1 - Prob. 2ECh. 12.1 - Prob. 3ECh. 12.1 - Prob. 4ECh. 12.1 - Prob. 5ECh. 12.1 - Evaluate the integrals in Problems 5-28. Check...Ch. 12.1 - Prob. 7ECh. 12.1 - Evaluate the integrals in Problems 5-28. Check...
Ch. 12.1 - Prob. 9ECh. 12.1 - Prob. 10ECh. 12.1 - Prob. 11ECh. 12.1 - Prob. 12ECh. 12.1 - Prob. 13ECh. 12.1 - Prob. 14ECh. 12.1 - Prob. 15ECh. 12.1 - Prob. 16ECh. 12.1 - Prob. 17ECh. 12.1 - Prob. 18ECh. 12.1 - Prob. 19ECh. 12.1 - Evaluate the integrals in Problems 5-28. Check...Ch. 12.1 - Prob. 21ECh. 12.1 - Prob. 22ECh. 12.1 - Prob. 23ECh. 12.1 - Evaluate the integrals in Problems 5-28. Check...Ch. 12.1 - Prob. 25ECh. 12.1 - Prob. 26ECh. 12.1 - Evaluate the integrals in Problems 5-28. Check...Ch. 12.1 - Prob. 28ECh. 12.1 - In Problems 29-32, use algebra to rewrite the...Ch. 12.1 - In Problems 29-32, use algebra to rewrite the...Ch. 12.1 - Prob. 31ECh. 12.1 - In Problems 29-32, use algebra to rewrite the...Ch. 12.1 - Prob. 33ECh. 12.1 - Prob. 34ECh. 12.1 - Prob. 35ECh. 12.1 - Prob. 36ECh. 12.1 - In each of Problems 37-40, a family of functions...Ch. 12.1 - Prob. 38ECh. 12.1 - In each of Problems 37-40, a family of functions...Ch. 12.1 - Prob. 40ECh. 12.1 - Prob. 41ECh. 12.1 - Prob. 42ECh. 12.1 - 43. Revenue If the marginal revenue (in dollars...Ch. 12.1 - Prob. 44ECh. 12.1 - 45. Stimulus-response Suppose that when a sense...Ch. 12.1 - Prob. 46ECh. 12.1 - 47. Pollution A factory is damping pollutants into...Ch. 12.1 - 48. Population growth The rate of growth of the...Ch. 12.1 - 49. Average cost The DeWitt Company has found that...Ch. 12.1 - 50. Oil leakage An oil tanker hits a reef and...Ch. 12.1 - Prob. 51ECh. 12.1 - Prob. 52ECh. 12.1 - Prob. 53ECh. 12.1 - 54. Severe weather ice makers Hail is produced in...Ch. 12.1 - 55. U.S. population With U.S. Census Bureau data...Ch. 12.1 - 56. Consumer prices The consumer price index (CPI)...Ch. 12.2 - 1. Which of the following can be evaluated with...Ch. 12.2 - Prob. 2CPCh. 12.2 - 3. True or false: Constants can be factored...Ch. 12.2 - Prob. 4CPCh. 12.2 - Prob. 1ECh. 12.2 - Prob. 2ECh. 12.2 - Prob. 3ECh. 12.2 - Prob. 4ECh. 12.2 - In each of Problems 5 and 6, one of parts (a) and...Ch. 12.2 - In each of Problems 5 and 6, one of parts (a) and...Ch. 12.2 - Prob. 7ECh. 12.2 - Prob. 8ECh. 12.2 - Prob. 9ECh. 12.2 - Prob. 10ECh. 12.2 - Prob. 11ECh. 12.2 - Prob. 12ECh. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Prob. 14ECh. 12.2 - Prob. 15ECh. 12.2 - Prob. 16ECh. 12.2 - Prob. 17ECh. 12.2 - Prob. 18ECh. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Prob. 20ECh. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Prob. 22ECh. 12.2 - Prob. 23ECh. 12.2 - Prob. 24ECh. 12.2 - Prob. 25ECh. 12.2 - Prob. 26ECh. 12.2 - Prob. 27ECh. 12.2 - Prob. 28ECh. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Prob. 32ECh. 12.2 - Prob. 33ECh. 12.2 - Prob. 34ECh. 12.2 - Prob. 35ECh. 12.2 - Evaluate the integrals in Problems 7-36. Check...Ch. 12.2 - Prob. 37ECh. 12.2 - Prob. 38ECh. 12.2 - Prob. 39ECh. 12.2 - Prob. 40ECh. 12.2 - Prob. 41ECh. 12.2 - Prob. 42ECh. 12.2 - Prob. 43ECh. 12.2 - Prob. 44ECh. 12.2 - Prob. 45ECh. 12.2 - Prob. 46ECh. 12.2 - 47. Revenue Suppose that the marginal revenue for...Ch. 12.2 - Prob. 48ECh. 12.2 - 49. Physical productivity The total physical...Ch. 12.2 - 50. Production The rate of production of a new...Ch. 12.2 - 51. Data entry speed The rate of change in data...Ch. 12.2 - Prob. 52ECh. 12.2 - 53. Film attendance An excellent film with a very...Ch. 12.2 - 54. Product quality and advertising An inferior...Ch. 12.2 - 55. Demographics Because of job outsourcing, a...Ch. 12.2 - 56. Franchise growth A new fast-food firm predicts...Ch. 12.3 - 1. True or false:
(a) (b)
(c) (d)
Ch. 12.3 - Prob. 2CPCh. 12.3 - Prob. 3CPCh. 12.3 - Prob. 1ECh. 12.3 - Prob. 2ECh. 12.3 - Evaluate the integrals in Problems 1-32.
3.
Ch. 12.3 - Prob. 4ECh. 12.3 - Evaluate the integrals in Problems 1-32.
Ch. 12.3 - Prob. 6ECh. 12.3 - Prob. 7ECh. 12.3 - Evaluate the integrals in Problems 1-32.
Ch. 12.3 - Evaluate the integrals in Problems 1-32.
9.
Ch. 12.3 - Prob. 10ECh. 12.3 - Prob. 11ECh. 12.3 - Prob. 12ECh. 12.3 - Prob. 13ECh. 12.3 - Prob. 14ECh. 12.3 - Prob. 15ECh. 12.3 - Prob. 16ECh. 12.3 - Prob. 17ECh. 12.3 - Prob. 18ECh. 12.3 - Prob. 19ECh. 12.3 - Prob. 20ECh. 12.3 - Evaluate the integrals in Problems 1-32.
21.
Ch. 12.3 - Prob. 22ECh. 12.3 - Prob. 23ECh. 12.3 - Prob. 24ECh. 12.3 - Prob. 25ECh. 12.3 - Prob. 26ECh. 12.3 - Prob. 27ECh. 12.3 - Prob. 28ECh. 12.3 - Evaluate the integrals in Problems 1-32.
29.
Ch. 12.3 - Prob. 30ECh. 12.3 - Prob. 31ECh. 12.3 - Prob. 32ECh. 12.3 - Prob. 33ECh. 12.3 - Prob. 34ECh. 12.3 - Prob. 35ECh. 12.3 - Prob. 36ECh. 12.3 - Prob. 37ECh. 12.3 - Prob. 38ECh. 12.3 - In Problems 37-40, a family of functions is given...Ch. 12.3 - Prob. 40ECh. 12.3 - Prob. 41ECh. 12.3 - Prob. 42ECh. 12.3 - 43. Revenue Suppose that the marginal revenue from...Ch. 12.3 - Prob. 44ECh. 12.3 - Prob. 45ECh. 12.3 - 46. Radioactive decay Radioactive substances decay...Ch. 12.3 - 47. Memorization The rate of vocabulary...Ch. 12.3 - Prob. 48ECh. 12.3 - 49. Compound interest If $P is invested for n...Ch. 12.3 - 50. Temperature changes When an object is moved...Ch. 12.3 - Prob. 56ECh. 12.4 - 1. True or false:
(a) If , then the constant of...Ch. 12.4 - Prob. 2CPCh. 12.4 - Prob. 3CPCh. 12.4 - Prob. 4CPCh. 12.4 - Prob. 1ECh. 12.4 - Prob. 2ECh. 12.4 - Prob. 3ECh. 12.4 - Prob. 4ECh. 12.4 - Prob. 5ECh. 12.4 - Prob. 6ECh. 12.4 - In Problems 1-12, cost, revenue, and profit are in...Ch. 12.4 - In Problems 1-12, cost, revenue, and profit are in...Ch. 12.4 - Prob. 9ECh. 12.4 - Prob. 10ECh. 12.4 - In Problems 1-12, cost, revenue, and profit are in...Ch. 12.4 - In Problems 1-12, cost, revenue, and profit are in...Ch. 12.4 - 14. Suppose that the marginal cost for a certain...Ch. 12.4 - 14. Suppose that the marginal cost for a certain...Ch. 12.4 - 15. If national consumption is $7 billion when...Ch. 12.4 - Prob. 16ECh. 12.4 - Prob. 17ECh. 12.4 - Prob. 18ECh. 12.4 - Prob. 19ECh. 12.4 - Prob. 20ECh. 12.4 - 21. Suppose that the marginal propensity to...Ch. 12.4 - Prob. 22ECh. 12.4 - Prob. 23ECh. 12.4 - Prob. 24ECh. 12.4 - Prob. 25ECh. 12.4 - Prob. 26ECh. 12.4 - Prob. 27ECh. 12.4 - Prob. 28ECh. 12.4 - Prob. 29ECh. 12.5 - Prob. 1CPCh. 12.5 - Prob. 2CPCh. 12.5 - Prob. 3CPCh. 12.5 - Prob. 1ECh. 12.5 - Prob. 2ECh. 12.5 - Prob. 3ECh. 12.5 - Prob. 4ECh. 12.5 - Prob. 5ECh. 12.5 - Prob. 6ECh. 12.5 - Prob. 7ECh. 12.5 - Prob. 8ECh. 12.5 - Prob. 9ECh. 12.5 - Prob. 10ECh. 12.5 - Prob. 11ECh. 12.5 - Prob. 12ECh. 12.5 - Prob. 13ECh. 12.5 - Prob. 14ECh. 12.5 - Prob. 15ECh. 12.5 - Prob. 16ECh. 12.5 - Prob. 17ECh. 12.5 - Prob. 18ECh. 12.5 - Prob. 19ECh. 12.5 - Prob. 20ECh. 12.5 - Prob. 21ECh. 12.5 - Prob. 22ECh. 12.5 - Prob. 23ECh. 12.5 - Prob. 24ECh. 12.5 - Prob. 25ECh. 12.5 - Prob. 26ECh. 12.5 - Prob. 27ECh. 12.5 - Prob. 28ECh. 12.5 - Prob. 29ECh. 12.5 - Prob. 30ECh. 12.5 - In Problems 29-36, find the particular solution to...Ch. 12.5 - Prob. 32ECh. 12.5 - Prob. 33ECh. 12.5 - Prob. 34ECh. 12.5 - Prob. 35ECh. 12.5 - Prob. 36ECh. 12.5 - Prob. 37ECh. 12.5 - Prob. 38ECh. 12.5 - Prob. 39ECh. 12.5 - Prob. 40ECh. 12.5 - 41. Investing When the interest on an investment...Ch. 12.5 - Prob. 42ECh. 12.5 - 43. Bacterial growth Suppose that the growth of a...Ch. 12.5 - Prob. 44ECh. 12.5 - 46. Sales and pricing Suppose that a chain of auto...Ch. 12.5 - Prob. 46ECh. 12.5 - Prob. 47ECh. 12.5 - 48. Radioactive decay A certain radioactive...Ch. 12.5 - Prob. 49ECh. 12.5 - Prob. 50ECh. 12.5 - 51. Drug in an organ Suppose that a liquid carries...Ch. 12.5 - Prob. 52ECh. 12.5 - Prob. 53ECh. 12.5 - Prob. 54ECh. 12.5 - Prob. 55ECh. 12.5 - Prob. 56ECh. 12.5 - Prob. 57ECh. 12.5 - Prob. 58ECh. 12 - Evaluate the integrals in Problems 1-26.
Ch. 12 - Prob. 2RECh. 12 - Prob. 3RECh. 12 - Prob. 4RECh. 12 - Prob. 5RECh. 12 - Prob. 6RECh. 12 - Prob. 7RECh. 12 - Prob. 8RECh. 12 - Prob. 9RECh. 12 - Prob. 10RECh. 12 - Prob. 11RECh. 12 - Prob. 12RECh. 12 - Prob. 13RECh. 12 - Prob. 14RECh. 12 - Prob. 15RECh. 12 - Prob. 16RECh. 12 - Prob. 17RECh. 12 - Prob. 18RECh. 12 - Prob. 19RECh. 12 - Prob. 20RECh. 12 - Prob. 21RECh. 12 - Prob. 22RECh. 12 - Prob. 23RECh. 12 - Prob. 24RECh. 12 - Prob. 25RECh. 12 - Evaluate the integrals in Problems 1-26.
26. (a) ...Ch. 12 - Prob. 27RECh. 12 - Prob. 28RECh. 12 - Prob. 29RECh. 12 - Prob. 30RECh. 12 - Prob. 31RECh. 12 - Prob. 32RECh. 12 - Prob. 33RECh. 12 - Prob. 34RECh. 12 - Prob. 35RECh. 12 - Prob. 36RECh. 12 - 37. Oxygen levels in water The rate of change of...Ch. 12 - Prob. 38RECh. 12 - Prob. 39RECh. 12 - Prob. 40RECh. 12 - 41. Cost The marginal cost for a product is
...Ch. 12 - Prob. 42RECh. 12 - Prob. 43RECh. 12 - Prob. 44RECh. 12 - Prob. 45RECh. 12 - Prob. 46RECh. 12 - 47. Fossil dating Radioactive beryllium is...Ch. 12 - Prob. 48RECh. 12 - Prob. 49RECh. 12 - Prob. 1TCh. 12 - Evaluate the integrals in Problems 1-11.
Ch. 12 - Prob. 3TCh. 12 - Prob. 4TCh. 12 - Prob. 5TCh. 12 - Prob. 6TCh. 12 - Prob. 7TCh. 12 - Prob. 8TCh. 12 - Prob. 9TCh. 12 - Prob. 10TCh. 12 - Prob. 11TCh. 12 - Prob. 12TCh. 12 - Prob. 13TCh. 12 - Prob. 14TCh. 12 - Prob. 15TCh. 12 - Prob. 16TCh. 12 - Prob. 17TCh. 12 - Prob. 18TCh. 12 - Prob. 19TCh. 12 - Prob. 20TCh. 12 - Prob. 21TCh. 12 - Prob. 22T
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