Mathematics: A Discrete Introduction
3rd Edition
ISBN: 9780840049421
Author: Edward A. Scheinerman
Publisher: Cengage Learning
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Chapter 1.7, Problem 7.2E
To determine
To prove: the given implications.
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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 1 Solutions
Mathematics: A Discrete Introduction
Ch. 1.1 - Simplify the following algebraic expression:...Ch. 1.2 - Prob. 2.1ECh. 1.3 - Prob. 3.1ECh. 1.3 - Prob. 3.2ECh. 1.3 - Prob. 3.3ECh. 1.3 - Prob. 3.4ECh. 1.3 - Prob. 3.5ECh. 1.3 - Prob. 3.6ECh. 1.3 - Prob. 3.7ECh. 1.3 - Prob. 3.8E
Ch. 1.3 - Prob. 3.9ECh. 1.3 - Prob. 3.10ECh. 1.3 - Prob. 3.11ECh. 1.3 - Prob. 3.12ECh. 1.3 - Prob. 3.13ECh. 1.3 - Prob. 3.14ECh. 1.4 - Prob. 4.1ECh. 1.4 - Prob. 4.2ECh. 1.4 - Prob. 4.3ECh. 1.4 - Prob. 4.4ECh. 1.4 - Prob. 4.5ECh. 1.4 - Prob. 4.6ECh. 1.4 - Prob. 4.7ECh. 1.4 - Prob. 4.8ECh. 1.4 - Prob. 4.9ECh. 1.4 - Prob. 4.10ECh. 1.4 - Prob. 4.11ECh. 1.4 - Prob. 4.12ECh. 1.5 - Prove that the sum of two odd integers is even.Ch. 1.5 - Prove that the sum of an odd integer and an even...Ch. 1.5 - Prove that if n is an odd integer, then n is also...Ch. 1.5 - Prove that the product of two even integers is...Ch. 1.5 - Prove that the product of an even integer and an...Ch. 1.5 - Prove that the product of two odd integers is odd.Ch. 1.5 - Prove that the square of an odd integer is odd.Ch. 1.5 - Prove that the cube of an odd integer is odd.Ch. 1.5 - Suppose a, b, and c are integers. Prove that if ab...Ch. 1.5 - Suppose a, b, and c are integers. Prove that if...Ch. 1.5 - Suppose a, b, d, x, and y are integers. Prove that...Ch. 1.5 - Suppose a, b, c, and d are integers. Prove that if...Ch. 1.5 - Let x be an integer. Prove that x is odd if and...Ch. 1.5 - Let x be an integers. Prove that x is odd if and...Ch. 1.5 - Let x be an integer. Prove that 0x if and only if...Ch. 1.5 - Let a and b be integers. Prove that ab if and only...Ch. 1.5 - Let a be a number with a1. Prove that a number x...Ch. 1.5 - Prove that the difference between consecutive...Ch. 1.5 - Let a be a perfect square. Prove that a is the...Ch. 1.5 - For real numbers a and b, prove that if 0ab, then...Ch. 1.5 - Prove that the difference between distinct,...Ch. 1.5 - Prove that an integer is odd if and only if it is...Ch. 1.5 - Suppose you are asked to prove a statement of the...Ch. 1.5 - Suppose you are asked to prove a statement of the...Ch. 1.6 - Disprove: If a and b are integers with ab, then...Ch. 1.6 - Disprove: If a and b are nonnegative integers with...Ch. 1.6 - Disprove: If a, b, and c are positive integers...Ch. 1.6 - Disprove: If a, b, and c are positive integers,...Ch. 1.6 - Disprove: If p and q are prime, then p+q is...Ch. 1.6 - Disprove: If p is prime, then 2p1 is also prime.Ch. 1.6 - Prob. 6.7ECh. 1.6 - An integer is a palindrome if it reads the same...Ch. 1.6 - Prob. 6.9ECh. 1.6 - Prob. 6.10ECh. 1.6 - Prob. 6.11ECh. 1.6 - Prob. 6.12ECh. 1.6 - Prob. 6.13ECh. 1.7 - Prob. 7.1ECh. 1.7 - Prob. 7.2ECh. 1.7 - Prob. 7.3ECh. 1.7 - Prob. 7.4ECh. 1.7 - Prob. 7.5ECh. 1.7 - Prob. 7.6ECh. 1.7 - Prob. 7.7ECh. 1.7 - Prob. 7.8ECh. 1.7 - Prob. 7.9ECh. 1.7 - Prob. 7.10ECh. 1.7 - Prob. 7.11ECh. 1.7 - Prob. 7.12ECh. 1.7 - Prob. 7.13ECh. 1.7 - Prob. 7.14ECh. 1.7 - Prob. 7.15ECh. 1.7 - Prob. 7.16ECh. 1.7 - Prob. 7.17ECh. 1.7 - Prob. 7.18ECh. 1.7 - Prove that xy can be reexpressed in terms of just ...Ch. 1.7 - Prob. 7.20ECh. 1 - Prob. 1STCh. 1 - Prob. 2STCh. 1 - Prob. 3STCh. 1 - Prob. 4STCh. 1 - Prob. 5STCh. 1 - Prob. 6STCh. 1 - Prob. 7STCh. 1 - Prob. 8STCh. 1 - Prob. 9STCh. 1 - Prob. 10STCh. 1 - Prob. 11STCh. 1 - Prob. 12STCh. 1 - Prob. 13STCh. 1 - Prob. 14STCh. 1 - Prob. 15STCh. 1 - Prob. 16STCh. 1 - Prob. 17STCh. 1 - Prob. 18STCh. 1 - Prob. 19STCh. 1 - Prob. 20ST
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