Find the solutions of the congruence 15 x 2 +19 x = 5 ( mod 11 ) . [Hint: Show the congruence is equivalent to the congruence 15 x 2 +19 x + 6 ≡ 0 ( mod 11 ) . Factor the left-hand side of the congruence; show that a solution of the quadratic congruence is a solution of one of the two different linear congruences.]
Find the solutions of the congruence 15 x 2 +19 x = 5 ( mod 11 ) . [Hint: Show the congruence is equivalent to the congruence 15 x 2 +19 x + 6 ≡ 0 ( mod 11 ) . Factor the left-hand side of the congruence; show that a solution of the quadratic congruence is a solution of one of the two different linear congruences.]
Solution Summary: The author explains the solutions of the congruence 15x 2 + 19x = 5(mod 11), which is 3, 6.
Find the solutions of the congruence
15
x
2
+19
x
=
5
(
mod 11
)
. [Hint: Show the congruence is equivalent to the congruence
15
x
2
+19
x
+
6
≡
0
(
mod 11
)
.
Factor the left-hand side of the congruence; show that a solution of the quadratic congruence is a solution of one of the two different linear congruences.]
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 4 Solutions
Discrete Mathematics and Its Applications ( 8th International Edition ) ISBN:9781260091991
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