Bundle: Mathematical Excursions, Loose-leaf Version, 4th + WebAssign Printed Access Card
4th Edition
ISBN: 9781337605052
Author: Richard N. Aufmann, Joanne Lockwood, Richard D. Nation, Daniel K. Clegg
Publisher: Cengage Learning
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Chapter 2, Problem 7RE
To determine
Use set-builder notation to write each set.
The set of integers greater than
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4. Assume that a risk-free money market account is added to the market described in Q3.
The continuously compounded rate of return on the money market account is log (1.1).
(i) For each given μ, use Lagrange multipliers to determine the proportions (as a
function of μ) of wealth invested in the three assets available for the minimum
variance portfolio with expected return μ.
(ii) Determine the market portfolio in this market and calculate its Sharp ratio.
3. A market consists of two risky assets with rates of return R₁ and R2 and no risk-free
asset. From market data the following have been estimated: ER₁ = 0.25, ER2 = 0.05,
Var R₁ = 0.01, Var R2 = 0.04 and the correlation between R1 and R2 is p = -0.75.
(i) Given that an investor is targeting a total expected return of μ = 0.2. What
portfolio weights should they choose to meet this goal with minimum portfolio
variance? Correct all your calculations up to 4 decimal points.
(ii) Determine the global minimum-variance portfolio and the expected return and
variance of return of this portfolio (4 d.p.).
(iii) Sketch the minimum-variance frontier in the μ-σ² plane and indicate the efficient
frontier.
(iv) Without further calculation, explain how the minimum variance of the investor's
portfolio return will change if the two risky assets were independent.
2. A landlord is about to write a rental contract for a tenant which lasts T months. The
landlord first decides the length T > 0 (need not be an integer) of the contract, the
tenant then signs it and pays an initial handling fee of £100 before moving in. The
landlord collects the total amount of rent erT at the end of the contract at a continuously
compounded rate r> 0, but the contract stipulates that the tenant may leave before T,
in which case the landlord only collects the total rent up until the tenant's departure
time 7. Assume that 7 is exponentially distributed with rate > 0, λ‡r.
(i) Calculate the expected total payment EW the landlord will receive in terms of T.
(ii) Assume that the landlord has logarithmic utility U(w) = log(w - 100) and decides
that the rental rate r should depend on the contract length T by
r(T)
=
λ
√T
1
For each given λ, what T (as a function of X) should the landlord choose so as to
maximise their expected utility? Justify your answer.
Hint. It might be…
Chapter 2 Solutions
Bundle: Mathematical Excursions, Loose-leaf Version, 4th + WebAssign Printed Access Card
Ch. 2.1 - Mark, Erica, Larry, and Jennifer have each defined...Ch. 2.1 - In some fuzzy sets, membership values are given by...Ch. 2.1 - The following membership graph provides a...Ch. 2.1 - The membership graphs in the following figure...Ch. 2.1 - The membership graph in Excursion Exercise 2 shows...Ch. 2.1 - Prob. 1ESCh. 2.1 - Prob. 2ESCh. 2.1 - Prob. 3ESCh. 2.1 - Prob. 4ESCh. 2.1 - Prob. 5ES
Ch. 2.1 - Prob. 6ESCh. 2.1 - Prob. 7ESCh. 2.1 - Prob. 8ESCh. 2.1 - Prob. 9ESCh. 2.1 - Prob. 10ESCh. 2.1 - Prob. 11ESCh. 2.1 - Prob. 12ESCh. 2.1 - In Exercises I to 14, use the roster method to...Ch. 2.1 - Prob. 14ESCh. 2.1 - Prob. 15ESCh. 2.1 - In Exercises 15 to 24, write a word description of...Ch. 2.1 - In Exercises 15 to 24, write a word description of...Ch. 2.1 - In Exercises 15 to 24, write a word description of...Ch. 2.1 - Prob. 19ESCh. 2.1 - Prob. 20ESCh. 2.1 - Prob. 21ESCh. 2.1 - Prob. 22ESCh. 2.1 - Prob. 23ESCh. 2.1 - Prob. 24ESCh. 2.1 - In Exercises 25 to 36, determine whether each...Ch. 2.1 - Prob. 26ESCh. 2.1 - Prob. 27ESCh. 2.1 - Prob. 28ESCh. 2.1 - Prob. 29ESCh. 2.1 - In Exercises 25 to 36, determine whether each...Ch. 2.1 - Prob. 31ESCh. 2.1 - Prob. 32ESCh. 2.1 - Prob. 33ESCh. 2.1 - Prob. 34ESCh. 2.1 - Prob. 35ESCh. 2.1 - Prob. 36ESCh. 2.1 - Prob. 37ESCh. 2.1 - Prob. 38ESCh. 2.1 - Prob. 39ESCh. 2.1 - Prob. 40ESCh. 2.1 - In Exercises 37 to 48, use set-builder notation to...Ch. 2.1 - Prob. 42ESCh. 2.1 - Prob. 43ESCh. 2.1 - Prob. 44ESCh. 2.1 - Prob. 45ESCh. 2.1 - Prob. 46ESCh. 2.1 - Prob. 47ESCh. 2.1 - Prob. 48ESCh. 2.1 - Prob. 49ESCh. 2.1 - Prob. 50ESCh. 2.1 - Prob. 51ESCh. 2.1 - Prob. 52ESCh. 2.1 - Prob. 53ESCh. 2.1 - Prob. 54ESCh. 2.1 - Prob. 55ESCh. 2.1 - Prob. 56ESCh. 2.1 - Prob. 57ESCh. 2.1 - Prob. 58ESCh. 2.1 - Prob. 59ESCh. 2.1 - Prob. 60ESCh. 2.1 - Prob. 61ESCh. 2.1 - Prob. 62ESCh. 2.1 - Prob. 63ESCh. 2.1 - In Exercises 63 to 70, state whether each of the...Ch. 2.1 - In Exercises 63 to 70, state whether each of the...Ch. 2.1 - Prob. 66ESCh. 2.1 - Prob. 67ESCh. 2.1 - Prob. 68ESCh. 2.1 - Prob. 69ESCh. 2.1 - Prob. 70ESCh. 2.1 - Prob. 71ESCh. 2.1 - Prob. 72ESCh. 2.1 - Prob. 73ESCh. 2.1 - Prob. 74ESCh. 2.1 - Prob. 75ESCh. 2.1 - Prob. 76ESCh. 2.1 - Prob. 77ESCh. 2.1 - Prob. 78ESCh. 2.1 - Prob. 79ESCh. 2.1 - Prob. 80ESCh. 2.1 - Prob. 81ESCh. 2.1 - Prob. 82ESCh. 2.1 - In Exercises 83 to 86, use the extension of...Ch. 2.1 - Prob. 84ESCh. 2.1 - Prob. 85ESCh. 2.1 - Prob. 86ESCh. 2.1 - Prob. 87ESCh. 2.1 - Prob. 88ESCh. 2.1 - Prob. 89ESCh. 2.1 - Prob. 90ESCh. 2.2 - Let K = {(1, 0.4), (2, 0.6), (3,0.8), (4, 1)) and...Ch. 2.2 - Prob. 2EECh. 2.2 - Prob. 3EECh. 2.2 - Prob. 4EECh. 2.2 - Prob. 5EECh. 2.2 - Prob. 1ESCh. 2.2 - Prob. 2ESCh. 2.2 - Prob. 3ESCh. 2.2 - Prob. 4ESCh. 2.2 - Prob. 5ESCh. 2.2 - Prob. 6ESCh. 2.2 - Prob. 7ESCh. 2.2 - Prob. 8ESCh. 2.2 - Prob. 9ESCh. 2.2 - Prob. 10ESCh. 2.2 - Prob. 11ESCh. 2.2 - Prob. 12ESCh. 2.2 - Prob. 13ESCh. 2.2 - Prob. 14ESCh. 2.2 - Prob. 15ESCh. 2.2 - Prob. 16ESCh. 2.2 - Prob. 17ESCh. 2.2 - Prob. 18ESCh. 2.2 - Prob. 19ESCh. 2.2 - Prob. 20ESCh. 2.2 - Prob. 21ESCh. 2.2 - Prob. 22ESCh. 2.2 - Prob. 23ESCh. 2.2 - Prob. 24ESCh. 2.2 - Prob. 25ESCh. 2.2 - Prob. 26ESCh. 2.2 - Prob. 27ESCh. 2.2 - Prob. 28ESCh. 2.2 - Prob. 29ESCh. 2.2 - Prob. 30ESCh. 2.2 - Prob. 31ESCh. 2.2 - Prob. 32ESCh. 2.2 - Prob. 33ESCh. 2.2 - Prob. 34ESCh. 2.2 - Prob. 35ESCh. 2.2 - Prob. 36ESCh. 2.2 - Prob. 37ESCh. 2.2 - Prob. 38ESCh. 2.2 - Prob. 39ESCh. 2.2 - Prob. 40ESCh. 2.2 - Prob. 41ESCh. 2.2 - Prob. 42ESCh. 2.2 - Prob. 43ESCh. 2.2 - Prob. 44ESCh. 2.2 - Prob. 45ESCh. 2.2 - Prob. 46ESCh. 2.2 - Prob. 47ESCh. 2.2 - Prob. 48ESCh. 2.2 - Prob. 49ESCh. 2.2 - Prob. 50ESCh. 2.2 - Prob. 51ESCh. 2.2 - In Exercises 47 to 54, find the number of subsets...Ch. 2.2 - Prob. 53ESCh. 2.2 - Prob. 54ESCh. 2.2 - Suppose you have a nickel, two dimes, and a...Ch. 2.2 - Prob. 56ESCh. 2.2 - Sandwich Choices A delicatessen makes a...Ch. 2.2 - Upgrade Options A company that builds homes...Ch. 2.2 - Omelet Choices A restaurant provides a brunch...Ch. 2.2 - Truck Options A truck company makes a pickup truck...Ch. 2.2 - Prob. 61ESCh. 2.2 - Prob. 62ESCh. 2.2 - Voting Coalitions Five people, designated A, B, C,...Ch. 2.2 - Prob. 64ESCh. 2.3 - En Excursion Exercise I of Section 2.1, we defined...Ch. 2.3 - En Excursion Exercise I of Section 2.1, we defined...Ch. 2.3 - Prob. 3EECh. 2.3 - En Excursion Exercise I of Section 2.1, we defined...Ch. 2.3 - Prob. 5EECh. 2.3 - Prob. 6EECh. 2.3 - Prob. 7EECh. 2.3 - Prob. 1ESCh. 2.3 - Prob. 2ESCh. 2.3 - Prob. 3ESCh. 2.3 - Prob. 4ESCh. 2.3 - Prob. 5ESCh. 2.3 - Prob. 6ESCh. 2.3 - Prob. 7ESCh. 2.3 - Prob. 8ESCh. 2.3 - Prob. 9ESCh. 2.3 - Prob. 10ESCh. 2.3 - Prob. 11ESCh. 2.3 - Prob. 12ESCh. 2.3 - Prob. 13ESCh. 2.3 - Prob. 14ESCh. 2.3 - Prob. 15ESCh. 2.3 - Prob. 16ESCh. 2.3 - Prob. 17ESCh. 2.3 - Prob. 18ESCh. 2.3 - Prob. 19ESCh. 2.3 - Prob. 20ESCh. 2.3 - Prob. 21ESCh. 2.3 - Prob. 22ESCh. 2.3 - Prob. 23ESCh. 2.3 - Prob. 24ESCh. 2.3 - In Exercises 21 to 28, write a sentence that...Ch. 2.3 - Prob. 26ESCh. 2.3 - Prob. 27ESCh. 2.3 - Prob. 28ESCh. 2.3 - Prob. 29ESCh. 2.3 - Prob. 30ESCh. 2.3 - Prob. 31ESCh. 2.3 - Prob. 32ESCh. 2.3 - Prob. 33ESCh. 2.3 - Prob. 34ESCh. 2.3 - Prob. 35ESCh. 2.3 - Prob. 36ESCh. 2.3 - Prob. 37ESCh. 2.3 - Prob. 38ESCh. 2.3 - Prob. 39ESCh. 2.3 - Prob. 40ESCh. 2.3 - Prob. 41ESCh. 2.3 - Prob. 42ESCh. 2.3 - Prob. 43ESCh. 2.3 - Prob. 44ESCh. 2.3 - Prob. 45ESCh. 2.3 - Prob. 46ESCh. 2.3 - Prob. 47ESCh. 2.3 - Prob. 48ESCh. 2.3 - Prob. 49ESCh. 2.3 - Subtractive Color Mixing Artists who paint with...Ch. 2.3 - Prob. 51ESCh. 2.3 - Subtractive Color Mixing Artists who paint with...Ch. 2.3 - Prob. 53ESCh. 2.3 - Prob. 54ESCh. 2.3 - Prob. 55ESCh. 2.3 - Prob. 56ESCh. 2.3 - Prob. 57ESCh. 2.3 - Prob. 58ESCh. 2.3 - Prob. 59ESCh. 2.3 - Prob. 60ESCh. 2.3 - Prob. 61ESCh. 2.3 - Prob. 62ESCh. 2.3 - A Survey Aspecial interest group plans to conduct...Ch. 2.3 - A Music Survey Theadministrators of an Internet...Ch. 2.3 - Prob. 65ESCh. 2.3 - Prob. 66ESCh. 2.3 - Prob. 67ESCh. 2.3 - Prob. 68ESCh. 2.3 - Prob. 69ESCh. 2.3 - Prob. 70ESCh. 2.3 - Prob. 71ESCh. 2.3 - Prob. 72ESCh. 2.3 - Prob. 73ESCh. 2.3 - Prob. 74ESCh. 2.3 - Prob. 75ESCh. 2.3 - Prob. 76ESCh. 2.3 - Prob. 77ESCh. 2.3 - Prob. 78ESCh. 2.3 - Prob. 79ESCh. 2.3 - In an article in New Scientist magazine, Anthony...Ch. 2.4 - A selection committee consists of Ryan, Susan. and...Ch. 2.4 - A selection committee consists of three people...Ch. 2.4 - Determine the minimal winning coalitions for the...Ch. 2.4 - Prob. 1ESCh. 2.4 - Prob. 2ESCh. 2.4 - In Exercises I to 10, let U = English, French,...Ch. 2.4 - Prob. 4ESCh. 2.4 - Prob. 5ESCh. 2.4 - Prob. 6ESCh. 2.4 - In Exercises I to 10, let U = English, French,...Ch. 2.4 - Prob. 8ESCh. 2.4 - Prob. 9ESCh. 2.4 - Prob. 10ESCh. 2.4 - Prob. 11ESCh. 2.4 - Prob. 12ESCh. 2.4 - Prob. 13ESCh. 2.4 - Prob. 14ESCh. 2.4 - Prob. 15ESCh. 2.4 - Given n(A) = 640, n(B) = 280, and n(A U B) = 765,...Ch. 2.4 - Prob. 17ESCh. 2.4 - In Exercises 17 and 18, use the given information...Ch. 2.4 - In a surveyof 600 investors, it was reported that...Ch. 2.4 - Commuting A survey of 1500 commuters in New York...Ch. 2.4 - A team physician has determined that of all the...Ch. 2.4 - The management of a hotel conducted a survey. ft...Ch. 2.4 - A computer company advertises its computers in PC...Ch. 2.4 - During one month, a blood donation center found...Ch. 2.4 - A special interest group has conducted a survey...Ch. 2.4 - A survey of college students was taken to...Ch. 2.4 - A survey was completed by individuals who were...Ch. 2.4 - Prob. 28ESCh. 2.4 - Prob. 29ESCh. 2.4 - Prob. 30ESCh. 2.4 - Prob. 31ESCh. 2.4 - Prob. 32ESCh. 2.5 - Use two disjoint sets to show that 0+2=0.Ch. 2.5 - Prob. 2EECh. 2.5 - Use sets toshow that 06=0.Ch. 2.5 - Prob. 1ESCh. 2.5 - Establish a one-to-one correspondence between the...Ch. 2.5 - Establish a one-to-one correspondence between D =...Ch. 2.5 - Prob. 4ESCh. 2.5 - Prob. 5ESCh. 2.5 - In Exercises 4 to 10, state the cardinality of...Ch. 2.5 - Prob. 7ESCh. 2.5 - Prob. 8ESCh. 2.5 - Prob. 9ESCh. 2.5 - Prob. 10ESCh. 2.5 - Prob. 11ESCh. 2.5 - In Exercises 11 to 14, determine whether the given...Ch. 2.5 - Prob. 13ESCh. 2.5 - Prob. 14ESCh. 2.5 - Prob. 15ESCh. 2.5 - In Exercises 15 to 18, show that the given set is...Ch. 2.5 - Prob. 17ESCh. 2.5 - Prob. 18ESCh. 2.5 - In Exercises 19 to 26, show that the given set has...Ch. 2.5 - Prob. 20ESCh. 2.5 - Prob. 21ESCh. 2.5 - In Exercises 19 to 26, show that the given set has...Ch. 2.5 - Prob. 23ESCh. 2.5 - In Exercises 19 to 26, show that the given set has...Ch. 2.5 - In Exercises 19 to 26, show that the given set has...Ch. 2.5 - In Exercises 19 to 26, show that the given set has...Ch. 2.5 - Prob. 27ESCh. 2.5 - Prob. 28ESCh. 2.5 - Prob. 29ESCh. 2.5 - The Hubert Hotel is an imaginary hotel created by...Ch. 2 - Prob. 1RECh. 2 - In Exercises 1 to 6, use the roster method to...Ch. 2 - Prob. 3RECh. 2 - Prob. 4RECh. 2 - Prob. 5RECh. 2 - Prob. 6RECh. 2 - Prob. 7RECh. 2 - Prob. 8RECh. 2 - Prob. 9RECh. 2 - Prob. 10RECh. 2 - Prob. 11RECh. 2 - Prob. 12RECh. 2 - Prob. 13RECh. 2 - Prob. 14RECh. 2 - Prob. 15RECh. 2 - Prob. 16RECh. 2 - Prob. 17RECh. 2 - Prob. 18RECh. 2 - Prob. 19RECh. 2 - Prob. 20RECh. 2 - Prob. 21RECh. 2 - Prob. 22RECh. 2 - Prob. 23RECh. 2 - Prob. 24RECh. 2 - Prob. 25RECh. 2 - Prob. 26RECh. 2 - Prob. 27RECh. 2 - Prob. 28RECh. 2 - Prob. 29RECh. 2 - Prob. 30RECh. 2 - Prob. 31RECh. 2 - Prob. 32RECh. 2 - Prob. 33RECh. 2 - Prob. 34RECh. 2 - Prob. 35RECh. 2 - Prob. 36RECh. 2 - In Exercises 35 to 38, find the number of subsets...Ch. 2 - Prob. 38RECh. 2 - Prob. 39RECh. 2 - Prob. 40RECh. 2 - Prob. 41RECh. 2 - Prob. 42RECh. 2 - Prob. 43RECh. 2 - Prob. 44RECh. 2 - Prob. 45RECh. 2 - Prob. 46RECh. 2 - Prob. 47RECh. 2 - Prob. 48RECh. 2 - Prob. 49RECh. 2 - Prob. 50RECh. 2 - Prob. 51RECh. 2 - Prob. 52RECh. 2 - In a survey at a health club, 208 members...Ch. 2 - A gourmet coffee bar conducted a survey to...Ch. 2 - Prob. 55RECh. 2 - Prob. 56RECh. 2 - Prob. 57RECh. 2 - Prob. 58RECh. 2 - Prob. 59RECh. 2 - Prob. 60RECh. 2 - Prob. 61RECh. 2 - Prob. 62RECh. 2 - Prob. 63RECh. 2 - Prob. 64RECh. 2 - Prob. 65RECh. 2 - Prob. 66RECh. 2 - Prob. 67RECh. 2 - Prob. 68RECh. 2 - Prob. 69RECh. 2 - Prob. 70RECh. 2 - Prob. 71RECh. 2 - Prob. 72RECh. 2 - Prob. 1TCh. 2 - Prob. 2TCh. 2 - Prob. 3TCh. 2 - Prob. 4TCh. 2 - Prob. 5TCh. 2 - Prob. 6TCh. 2 - Prob. 7TCh. 2 - Prob. 8TCh. 2 - Prob. 9TCh. 2 - Prob. 10TCh. 2 - Prob. 11TCh. 2 - Prob. 12TCh. 2 - Prob. 13TCh. 2 - Prob. 14TCh. 2 - Upgrade Options An automobile company makes a...Ch. 2 - Student Demographics A college finds that 841 of...Ch. 2 - The following bar graph shows the monthly...Ch. 2 - A survey of 1000 households was taken to determine...Ch. 2 - Show a method that can be used to establish a...Ch. 2 - Prob. 20T
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- Please solving problem2 Problem1 We consider a two-period binomial model with the following properties: each period lastsone (1) year and the current stock price is S0 = 4. On each period, the stock price doubleswhen it moves up and is reduced by half when it moves down. The annual interest rateon the money market is 25%. (This model is the same as in Prob. 1 of HW#2).We consider four options on this market: A European call option with maturity T = 2 years and strike price K = 5; A European put option with maturity T = 2 years and strike price K = 5; An American call option with maturity T = 2 years and strike price K = 5; An American put option with maturity T = 2 years and strike price K = 5.(a) Find the price at time 0 of both European options.(b) Find the price at time 0 of both American options. Compare your results with (a)and comment.(c) For each of the American options, describe the optimal exercising strategy.arrow_forwardPlease ensure that all parts of the question are answered thoroughly and clearly. Include a diagram to help explain answers. Make sure the explanation is easy to follow. Would appreciate work done written on paper. Thank you.arrow_forwardThis question builds on an earlier problem. The randomized numbers may have changed, but have your work for the previous problem available to help with this one. A 4-centimeter rod is attached at one end to a point A rotating counterclockwise on a wheel of radius 2 cm. The other end B is free to move back and forth along a horizontal bar that goes through the center of the wheel. At time t=0 the rod is situated as in the diagram at the left below. The wheel rotates counterclockwise at 1.5 rev/sec. At some point, the rod will be tangent to the circle as shown in the third picture. A B A B at some instant, the piston will be tangent to the circle (a) Express the x and y coordinates of point A as functions of t: x= 2 cos(3πt) and y= 2 sin(3t) (b) Write a formula for the slope of the tangent line to the circle at the point A at time t seconds: -cot(3πt) sin(3лt) (c) Express the x-coordinate of the right end of the rod at point B as a function of t: 2 cos(3πt) +411- 4 -2 sin (3лt) (d)…arrow_forward
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