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Fundamentals of Differential Equations [With CDROM] - 7th Edition
7th Edition
ISBN: 9780321410481
Author: Saff, Edward B., Snider, Arthur David, Nagle, R. Kent
Publisher: Addison Wesley
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Chapter 2.RP, Problem 19RP
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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
Fundamentals of Differential Equations [With CDROM] - 7th Edition
Ch. 2.2 - Prob. 1ECh. 2.2 - In Problems 1-6, determine whether the given...Ch. 2.2 - Prob. 3ECh. 2.2 - Prob. 4ECh. 2.2 - Prob. 5ECh. 2.2 - Prob. 6ECh. 2.2 - Prob. 7ECh. 2.2 - Prob. 8ECh. 2.2 - Prob. 9ECh. 2.2 - Prob. 10E
Ch. 2.2 - Prob. 11ECh. 2.2 - Prob. 12ECh. 2.2 - Prob. 13ECh. 2.2 - Prob. 14ECh. 2.2 - Prob. 15ECh. 2.2 - Prob. 16ECh. 2.2 - Prob. 17ECh. 2.2 - Prob. 18ECh. 2.2 - Prob. 19ECh. 2.2 - Prob. 20ECh. 2.2 - Prob. 21ECh. 2.2 - Prob. 22ECh. 2.2 - Prob. 23ECh. 2.2 - Prob. 24ECh. 2.2 - Prob. 25ECh. 2.2 - Prob. 26ECh. 2.2 - Solutions Not Expressible in Terms of Elementary...Ch. 2.2 - Sketch the solution to the initial value problem...Ch. 2.2 - Prob. 29ECh. 2.2 - As stated in this section, the separation of...Ch. 2.2 - Interval of Definition. By looking at an initial...Ch. 2.2 - Analyze the solution y=(x) to the initial value...Ch. 2.2 - Prob. 33ECh. 2.2 - Prob. 34ECh. 2.2 - Prob. 35ECh. 2.2 - Prob. 36ECh. 2.2 - Prob. 37ECh. 2.2 - Prob. 38ECh. 2.2 - Prob. 39ECh. 2.2 - The atmospheric pressure force per unit area on a...Ch. 2.3 - In Problem 1-6, Determine whether the given...Ch. 2.3 - Prob. 2ECh. 2.3 - Prob. 3ECh. 2.3 - Prob. 4ECh. 2.3 - Prob. 5ECh. 2.3 - Prob. 6ECh. 2.3 - Prob. 7ECh. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - Prob. 10ECh. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - Prob. 12ECh. 2.3 - Prob. 13ECh. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - In Problems 7-16, obtain the general solution to...Ch. 2.3 - In Problems 17-22, solve the initial value...Ch. 2.3 - In Problem 17-22, solve the initial value problem....Ch. 2.3 - In Problem 17-22, solve the initial value problem....Ch. 2.3 - Prob. 20ECh. 2.3 - Prob. 21ECh. 2.3 - Prob. 22ECh. 2.3 - Prob. 23ECh. 2.3 - Prob. 24ECh. 2.3 - Prob. 25ECh. 2.3 - Prob. 26ECh. 2.3 - Constant Multiples of Solutions. a. Show that y=ex...Ch. 2.3 - Prob. 29ECh. 2.3 - Prob. 30ECh. 2.3 - Discontinuous Coefficients. As we will see in...Ch. 2.3 - Prob. 32ECh. 2.3 - Prob. 33ECh. 2.3 - Prob. 34ECh. 2.3 - Mixing Suppose a brine containing 0.2kg of salt...Ch. 2.3 - Variation of Parameters. Here is another procedure...Ch. 2.3 - Prob. 37ECh. 2.3 - Prob. 38ECh. 2.3 - The Nobel Prize in Physiology or Medicine in 1963...Ch. 2.4 - Prob. 1ECh. 2.4 - Prob. 2ECh. 2.4 - Prob. 3ECh. 2.4 - Prob. 4ECh. 2.4 - Prob. 5ECh. 2.4 - Prob. 6ECh. 2.4 - Prob. 7ECh. 2.4 - Prob. 8ECh. 2.4 - Prob. 9ECh. 2.4 - Prob. 10ECh. 2.4 - Prob. 11ECh. 2.4 - Prob. 12ECh. 2.4 - Prob. 13ECh. 2.4 - Prob. 14ECh. 2.4 - Prob. 15ECh. 2.4 - Prob. 16ECh. 2.4 - Prob. 17ECh. 2.4 - Prob. 18ECh. 2.4 - Prob. 19ECh. 2.4 - In Problems 9-20, determine whether the equation...Ch. 2.4 - Prob. 21ECh. 2.4 - Prob. 22ECh. 2.4 - Prob. 23ECh. 2.4 - Prob. 24ECh. 2.4 - Prob. 25ECh. 2.4 - Prob. 26ECh. 2.4 - Prob. 27ECh. 2.4 - Prob. 28ECh. 2.4 - Prob. 29ECh. 2.4 - Consider the equation...Ch. 2.4 - Prob. 31ECh. 2.4 - Prob. 32ECh. 2.4 - Prob. 33ECh. 2.4 - Prob. 34ECh. 2.4 - Prob. 35ECh. 2.4 - Prob. 36ECh. 2.5 - Prob. 1ECh. 2.5 - Prob. 2ECh. 2.5 - Prob. 3ECh. 2.5 - Prob. 4ECh. 2.5 - Prob. 5ECh. 2.5 - Prob. 6ECh. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - In Problems 7-12, solve the equation....Ch. 2.5 - Prob. 13ECh. 2.5 - Prob. 14ECh. 2.5 - Prob. 15ECh. 2.5 - Prob. 16ECh. 2.5 - Prob. 17ECh. 2.5 - Prob. 18ECh. 2.5 - Prob. 19ECh. 2.5 - Prob. 20ECh. 2.6 - Prob. 1ECh. 2.6 - Prob. 2ECh. 2.6 - Prob. 3ECh. 2.6 - Prob. 4ECh. 2.6 - In Problems 1 -8, identify do not solve the...Ch. 2.6 - In Problems 1 -8, identify do not solve the...Ch. 2.6 - Prob. 7ECh. 2.6 - In Problems 1 -8, identify do not solve the...Ch. 2.6 - Prob. 9ECh. 2.6 - Use the method discussed under Homogeneous...Ch. 2.6 - Prob. 11ECh. 2.6 - Prob. 12ECh. 2.6 - Prob. 13ECh. 2.6 - Prob. 14ECh. 2.6 - Prob. 15ECh. 2.6 - Prob. 16ECh. 2.6 - Prob. 17ECh. 2.6 - Prob. 18ECh. 2.6 - Prob. 19ECh. 2.6 - Use the method discussed under Equations of the...Ch. 2.6 - Prob. 21ECh. 2.6 - Prob. 22ECh. 2.6 - Prob. 23ECh. 2.6 - Prob. 24ECh. 2.6 - Prob. 25ECh. 2.6 - Prob. 26ECh. 2.6 - Prob. 27ECh. 2.6 - Prob. 28ECh. 2.6 - Prob. 29ECh. 2.6 - Prob. 30ECh. 2.6 - Use the method discussed under Equations with...Ch. 2.6 - Use method discussed under Equation with Linear...Ch. 2.6 - Prob. 33ECh. 2.6 - Prob. 34ECh. 2.6 - Prob. 35ECh. 2.6 - Prob. 36ECh. 2.6 - Prob. 37ECh. 2.6 - Prob. 38ECh. 2.6 - Prob. 39ECh. 2.6 - Prob. 40ECh. 2.6 - Prob. 41ECh. 2.6 - Prob. 42ECh. 2.6 - Prob. 43ECh. 2.6 - Prob. 44ECh. 2.6 - Prob. 45ECh. 2.6 - Prob. 46ECh. 2.6 - Prob. 47ECh. 2.6 - Prob. 48ECh. 2.RP - Prob. 1RPCh. 2.RP - Prob. 2RPCh. 2.RP - Prob. 3RPCh. 2.RP - Prob. 4RPCh. 2.RP - Prob. 5RPCh. 2.RP - Prob. 6RPCh. 2.RP - Prob. 7RPCh. 2.RP - Prob. 8RPCh. 2.RP - Prob. 9RPCh. 2.RP - Prob. 10RPCh. 2.RP - Prob. 11RPCh. 2.RP - Prob. 12RPCh. 2.RP - Prob. 13RPCh. 2.RP - Prob. 14RPCh. 2.RP - Prob. 15RPCh. 2.RP - Prob. 16RPCh. 2.RP - Prob. 17RPCh. 2.RP - Prob. 18RPCh. 2.RP - Prob. 19RPCh. 2.RP - Prob. 20RPCh. 2.RP - Prob. 21RPCh. 2.RP - In Problem 1-30, solve the equation....Ch. 2.RP - Prob. 23RPCh. 2.RP - Prob. 24RPCh. 2.RP - Prob. 25RPCh. 2.RP - Prob. 26RPCh. 2.RP - In Problems 1-30, solve the equation....Ch. 2.RP - Prob. 28RPCh. 2.RP - Prob. 29RPCh. 2.RP - Prob. 30RPCh. 2.RP - Prob. 31RPCh. 2.RP - Prob. 32RPCh. 2.RP - In Problems 31-40, solve the initial value problem...Ch. 2.RP - Prob. 34RPCh. 2.RP - Prob. 35RPCh. 2.RP - Prob. 36RPCh. 2.RP - Prob. 37RPCh. 2.RP - Prob. 38RPCh. 2.RP - Prob. 39RPCh. 2.RP - Prob. 40RPCh. 2.RP - Prob. 41RP
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