# 1-Answer - 09/10 The University of Hong Kong Department of...

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Unformatted text preview: 09/10 The University of Hong Kong Department of Statistics and Actuarial Science STAT 2309 The Statistics of Investment Risk (First Semester 2009 ‐ 2010) Problem Sheet 1 Suggested Solution 1. 2. 3. 4. (a) Initial Margin = 300 x \$40 - \$4000 = \$8000 which is equivalent to a 66.67% (b) Remaining margin = \$8000 – (\$40 - \$30) x 300 = \$5000; Margin % = \$5000 / (\$30 x 300) = 55.56% which is greater than the maintenance margin of 30%, hence she will not receive a margin call as (c) Rate of return = (\$5000 - \$8000 - \$4000*8%) / \$8000 = -41.5% 09/10 5. 6. 7. 8. 09/10 9. 10. 11. 09/10 12. 13. (a) Plot of HSBC monthly closing share price from September 2004 to August 2009: 20 40 60 80 100 120 140 160 2004 ‐ 09 2004 ‐ 11 2005 ‐ 01 2005 ‐ 03 2005 ‐ 05 2005 ‐ 07 2005 ‐ 09 2005 ‐ 11 2006 ‐ 01 2006 ‐ 03 2006 ‐ 05 2006 ‐ 07 2006 ‐ 09 2006 ‐ 11 2007 ‐ 01 2007 ‐ 03 2007 ‐ 05 2007 ‐ 07 2007 ‐ 09 2007 ‐ 11 2008 ‐ 01 2008 ‐ 03 2008 ‐ 05 2008 ‐ 07 2008 ‐ 09 2008 ‐ 11 2009 ‐ 01 2009 ‐ 03 2009 ‐ 05 2009 ‐ 07 09/10...
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## This note was uploaded on 02/23/2011 for the course ECON 301 taught by Professor S.chiu during the Spring '11 term at HKU.

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1-Answer - 09/10 The University of Hong Kong Department of...

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