Intro Stats
Intro Stats
4th Edition
ISBN: 9780321826275
Author: Richard D. De Veaux
Publisher: PEARSON
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Chapter 5.2, Problem 2JC

a.

To determine

Find the change in the mean if 50 points are added.

b.

To determine

Find the standard deviation after adding 50 points.

c.

To determine

Find the differences in the boxplot of two years.

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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 5 Solutions

Intro Stats

Ch. 5 - Hotline A companys customer service hotline...Ch. 5 - Guzzlers? Environmental Protection Agency (EPA)...Ch. 5 - Prob. 8ECh. 5 - Normal cattle The Virginia Cooperative Extension...Ch. 5 - Prob. 10ECh. 5 - Prob. 11ECh. 5 - Prob. 12ECh. 5 - Payroll Here are the summary statistics for the...Ch. 5 - Hams A specialty foods company sells gourmet hams...Ch. 5 - Prob. 15ECh. 5 - Prob. 16ECh. 5 - Prob. 17ECh. 5 - Prob. 18ECh. 5 - Prob. 19ECh. 5 - Windy In the last chapter, we looked at three...Ch. 5 - Prob. 21ECh. 5 - Combining scores again The first Stat exam had a...Ch. 5 - Final exams Anna, a language major, took final...Ch. 5 - Prob. 24ECh. 5 - Prob. 25ECh. 5 - Car speeds 100 John Beale of Stanford, California,...Ch. 5 - Prob. 27ECh. 5 - Prob. 28ECh. 5 - Prob. 29ECh. 5 - Prob. 30ECh. 5 - Prob. 31ECh. 5 - Prob. 32ECh. 5 - Prob. 33ECh. 5 - Prob. 34ECh. 5 - Trees A forester measured 27 of the trees in a...Ch. 5 - Rivets A company that manufactures rivets believes...Ch. 5 - Prob. 37ECh. 5 - Prob. 38ECh. 5 - 39. Winter Olympics 2010 downhill Fifty-nine men...Ch. 5 - 40. Check the model The mean of the 100 car speeds...Ch. 5 - Prob. 41ECh. 5 - Prob. 42ECh. 5 - Prob. 43ECh. 5 - 44. More IQs In the Normal model N(l00, 16) from...Ch. 5 - Prob. 45ECh. 5 - Prob. 46ECh. 5 - Cholesterol Assume the cholesterol levels of adult...Ch. 5 - Tires A tire manufacturer believes that the...Ch. 5 - Kindergarten Companies that design furniture for...Ch. 5 - Prob. 50ECh. 5 - Eggs Hens usually begin laying eggs when they are...Ch. 5 - Tomatoes Agricultural scientists are working on...
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