Exercises_4_Assignme - Plot the efficient portfolio curve(plot command function[return,volatility,weights c]=portfolio(stock_prices EXERCISE 2

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Financial Math Programming Professor Antonio Rivela Do the following exercises in groups. EXERCISES 4 – OCTAVE / MATLAB @ Deadline: 14 Oct. Before session. Deliver the files in the digital dropbox. Call the .m file -> group_x_4.m (if you are group x). group_a_4.m (if you are group a). EXERCISE 1: Portfolio Theory Calculate and plot the efficient portfolio curve. Inputs for the function are the stock prices data. Function outputs the return, volatility and weights of each of the portfolios from c=-3 to c=8
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Plot the efficient portfolio curve (plot command) function[return,volatility,weights, c]=portfolio(stock_prices) EXERCISE 2: Derivatives Build a Black&Scholes call option premium function. function[premium]=BlackScholesPrice(S,X,T,r,v) EXERCISE 3: Statistics Build a variance/covariance function. Using the population (n) not the sample /(n-1). Call it cov3.m You are not allowed to use the Octave cov funcion function[matrix]=cov3(stock_prices) 1...
View Full Document

This note was uploaded on 04/28/2010 for the course FINANCE 2563254 taught by Professor Jimenez during the Spring '10 term at Universidad del Magdalena.

Ask a homework question - tutors are online