EBK INTRODUCTION TO THE PRACTICE OF STA
EBK INTRODUCTION TO THE PRACTICE OF STA
8th Edition
ISBN: 9781319116828
Author: Moore
Publisher: VST
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Chapter 9, Problem 47E
To determine

To find: The two dissimilar set of counts a, b, c, and d.

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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.
i need help with question 2
4 (Value-at-Risk and Expected Shortfall) Suppose X Find VaR0.02(X) and ES0.02 (X). ~ Uniform(-1, 1).
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