Problems 65–72 , use a graphing calculator to graph the given examples of the various cases in Table 1 on page 354 . 69. Limited growth: N = 100 ( 1 − e − 0.05 t ) 0 ≤ t ≤ 100 0 ≤ N ≤ 100
Problems 65–72 , use a graphing calculator to graph the given examples of the various cases in Table 1 on page 354 . 69. Limited growth: N = 100 ( 1 − e − 0.05 t ) 0 ≤ t ≤ 100 0 ≤ N ≤ 100
Solution Summary: The author illustrates the graph of the limited growth solution curve N=100(1-e-0.05t) using an online graphing calculator.
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).
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• 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
Calculus for Business, Economics, Life Sciences, and Social Sciences (13th Edition)
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Time Series Analysis Theory & Uni-variate Forecasting Techniques; Author: Analytics University;https://www.youtube.com/watch?v=_X5q9FYLGxM;License: Standard YouTube License, CC-BY