Differential Equations with Boundary-Value Problems
9th Edition
ISBN: 9781337632515
Author: Dennis G. Zill
Publisher: Cengage Learning US
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Chapter 6.3, Problem 25E
To determine
The series solution of given differential equation about
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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.).
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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
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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.
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Chapter 6 Solutions
Differential Equations with Boundary-Value Problems
Ch. 6.1 - In Problems 110 find the interval and radius of...Ch. 6.1 - In Problems 110 find the interval and radius of...Ch. 6.1 - Prob. 3ECh. 6.1 - Prob. 4ECh. 6.1 - Prob. 5ECh. 6.1 - Prob. 6ECh. 6.1 - Prob. 7ECh. 6.1 - In Problems 110 find the interval and radius of...Ch. 6.1 - In Problems 110 find the interval and radius of...Ch. 6.1 - Prob. 10E
Ch. 6.1 - Prob. 11ECh. 6.1 - In Problems 1116 use an appropriate series in (2)...Ch. 6.1 - Prob. 13ECh. 6.1 - In Problems 1116 use an appropriate series in (2)...Ch. 6.1 - In Problems 1116 use an appropriate series in (2)...Ch. 6.1 - Prob. 16ECh. 6.1 - In Problems 17 and 18 use an appropriate series in...Ch. 6.1 - Prob. 18ECh. 6.1 - Prob. 19ECh. 6.1 - Prob. 20ECh. 6.1 - Prob. 21ECh. 6.1 - Prob. 22ECh. 6.1 - Prob. 23ECh. 6.1 - Prob. 24ECh. 6.1 - Prob. 25ECh. 6.1 - In Problems 2530 proceed as in Example 3 to...Ch. 6.1 - In Problems 2530 proceed as in Example 3 to...Ch. 6.1 - Prob. 28ECh. 6.1 - In Problems 2530 proceed as in Example 3 to...Ch. 6.1 - In Problems 2530 proceed as in Example 3 to...Ch. 6.1 - In Problems 3134 verify by direct substitution...Ch. 6.1 - In Problems 3134 verify by direct substitution...Ch. 6.1 - In Problems 3134 verify by direct substitution...Ch. 6.1 - Prob. 34ECh. 6.1 - Prob. 35ECh. 6.1 - Prob. 36ECh. 6.1 - Prob. 37ECh. 6.1 - In Problems 3538 proceed as in Example 4 and find...Ch. 6.1 - Prob. 39ECh. 6.1 - Prob. 40ECh. 6.2 - In Problems 1 and 2 without actually solving the...Ch. 6.2 - Prob. 2ECh. 6.2 - In Problems 3–6 find two power series solutions of...Ch. 6.2 - In Problems 36 find two power series solutions of...Ch. 6.2 - In Problems 36 find two power series solutions of...Ch. 6.2 - In Problems 36 find two power series solutions of...Ch. 6.2 - Prob. 7ECh. 6.2 - Prob. 8ECh. 6.2 - Prob. 9ECh. 6.2 - Prob. 10ECh. 6.2 - Prob. 11ECh. 6.2 - Prob. 12ECh. 6.2 - Prob. 13ECh. 6.2 - Prob. 14ECh. 6.2 - Prob. 15ECh. 6.2 - Prob. 16ECh. 6.2 - Prob. 17ECh. 6.2 - Prob. 18ECh. 6.2 - Prob. 19ECh. 6.2 - Prob. 20ECh. 6.2 - Prob. 21ECh. 6.2 - Prob. 22ECh. 6.2 - Prob. 23ECh. 6.2 - In Problems 23 and 24 use the procedure in Example...Ch. 6.2 - Without actually solving the differential equation...Ch. 6.2 - How can the power series method be used to solve...Ch. 6.2 - Prob. 27ECh. 6.2 - Prob. 28ECh. 6.3 - In Problems 110 determine the singular points of...Ch. 6.3 - In Problems 110 determine the singular points of...Ch. 6.3 - Prob. 3ECh. 6.3 - Prob. 4ECh. 6.3 - Prob. 5ECh. 6.3 - Prob. 6ECh. 6.3 - Prob. 7ECh. 6.3 - In Problems 110 determine the singular points of...Ch. 6.3 - Prob. 9ECh. 6.3 - In Problems 110 determine the singular points of...Ch. 6.3 - Prob. 11ECh. 6.3 - Prob. 12ECh. 6.3 - In Problems 13 and 14, x = 0 is a regular singular...Ch. 6.3 - Prob. 14ECh. 6.3 - In Problems 1524, x = 0 is a regular singular...Ch. 6.3 - Prob. 16ECh. 6.3 - Prob. 17ECh. 6.3 - Prob. 18ECh. 6.3 - Prob. 19ECh. 6.3 - Prob. 20ECh. 6.3 - Prob. 21ECh. 6.3 - Prob. 22ECh. 6.3 - Prob. 23ECh. 6.3 - Prob. 24ECh. 6.3 - Prob. 25ECh. 6.3 - Prob. 26ECh. 6.3 - Prob. 27ECh. 6.3 - Prob. 28ECh. 6.3 - Prob. 29ECh. 6.3 - Prob. 30ECh. 6.3 - Prob. 31ECh. 6.3 - Prob. 32ECh. 6.3 - Prob. 33ECh. 6.3 - Prob. 35ECh. 6.3 - Prob. 36ECh. 6.3 - Prob. 37ECh. 6.4 - Prob. 1ECh. 6.4 - Prob. 2ECh. 6.4 - Prob. 3ECh. 6.4 - Bessels Equation In Problems 16 use (1) to find...Ch. 6.4 - Bessels Equation In Problems 16 use (1) to find...Ch. 6.4 - Bessels Equation In Problems 16 use (1) to find...Ch. 6.4 - Prob. 7ECh. 6.4 - Prob. 8ECh. 6.4 - Prob. 9ECh. 6.4 - Prob. 10ECh. 6.4 - In Problems 11 and 12 use the indicated change of...Ch. 6.4 - In Problems 11 and 12 use the indicated change of...Ch. 6.4 - Prob. 13ECh. 6.4 - Prob. 14ECh. 6.4 - Prob. 15ECh. 6.4 - Prob. 16ECh. 6.4 - Prob. 17ECh. 6.4 - Prob. 18ECh. 6.4 - Prob. 19ECh. 6.4 - In Problems 1320 use (20) to find the general...Ch. 6.4 - Prob. 21ECh. 6.4 - Assume that b in equation (20) can be pure...Ch. 6.4 - Prob. 23ECh. 6.4 - Prob. 24ECh. 6.4 - In Problems 2326 first use (20) to express the...Ch. 6.4 - In Problems 2326 first use (20) to express the...Ch. 6.4 - Prob. 27ECh. 6.4 - Prob. 28ECh. 6.4 - Prob. 29ECh. 6.4 - Prob. 30ECh. 6.4 - Prob. 31ECh. 6.4 - Use the recurrence relation in Problem 28 along...Ch. 6.4 - Prob. 33ECh. 6.4 - Prob. 34ECh. 6.4 - Use the change of variables s=2kmet/2 to show that...Ch. 6.4 - Prob. 36ECh. 6.4 - Use the result in parts (a) and (b) of Problem 36...Ch. 6.4 - Prob. 38ECh. 6.4 - Prob. 39ECh. 6.4 - (a) Use the explicit solutions y1(x) and y2(x) of...Ch. 6.4 - Prob. 47ECh. 6.4 - Prob. 48ECh. 6.4 - Find the first three positive values of for which...Ch. 6.4 - The differential equation y 2xy + 2y = 0 is known...Ch. 6.4 - (a) When = n is a nonnegative integer, Hermites...Ch. 6.4 - Prob. 55ECh. 6.4 - Prob. 56ECh. 6 - In Problems 1 and 2 answer true or false without...Ch. 6 - Prob. 2RECh. 6 - Prob. 3RECh. 6 - Prob. 4RECh. 6 - Prob. 5RECh. 6 - Prob. 6RECh. 6 - Prob. 7RECh. 6 - Prob. 8RECh. 6 - Prob. 9RECh. 6 - Prob. 10RECh. 6 - Prob. 11RECh. 6 - Prob. 12RECh. 6 - Prob. 13RECh. 6 - Prob. 14RECh. 6 - Prob. 15RECh. 6 - Prob. 16RECh. 6 - Prob. 17RECh. 6 - Prob. 18RECh. 6 - Prob. 19RECh. 6 - Prob. 20RECh. 6 - Prob. 21RECh. 6 - Prob. 22RECh. 6 - Prob. 23RECh. 6 - Prob. 24RECh. 6 - Prob. 25RECh. 6 - Express the general solution of the given...Ch. 6 - Prob. 27RECh. 6 - Prob. 28RE
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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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