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FIN 6015 Homework-Group 1

# FIN 6015 Homework-Group 1 - HOMEWORK Group1 No Firstname...

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HOMEWORK Group 1: No. First name Last name 1 Tuan Nguyen 2 Thong Nguyen 3 Quang Nguyen

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Chapter 13 13-2 Standard Deviation => One-month variance is  => Two-month variance is  =>Two-month Standard Deviation is  13-5 Performance Evaluation   0.17- {0.04 + [0.12-0.04] * 1.3} = 0.155         0.15- {0.04 + [0.12-0.04] * 1.2} = 0.014              0.09- {0.04 + [0.12-0.04] * 0.8} = -0.014         0.12- {0.04 + [0.12-0.04] * 1.0} = 0 Portfolio a p  (X) = R p  - {R f  + [E (R M ) – R f  ] * B p } = a p  (Y) = R p  - {R f  + [E (R M ) – R f  ] * B p } =  a p  (Z) = R p  - {R f  + [E (R M ) – R f  ] * B p } =  a p  (M) = R p  - {R f  + [E (R M ) – R f  ] * B p } =  Sharpe  Ratio Treynor  Ratio Jensen’s  Alpha 2 Var(R) 0.0420 = = s 2 0.0420 Var(R) 0.0035 12 = = = s 2 Var(R) 0.0035*2=0.007 = = s SD(R) Var(R) 0.007 0.0836=8.36% = = = = s p f p R R 0.17 0.04 SharpeRatioX 0.26 0.5 V V V V p f p R R 0.17 0.04 TreynorRatioX 0.10 1.3 V V V V p f p R R 0.15 0.04 SharpeRatioY 0.196 0.56 - - = = = s p f p R R 0.15 0.04 TreynorRatioY 0.091 1.2 - - = = = b p f p R R 0.09 0.04 SharpeRatioZ 0.15 0.33 - - = = = s p f p R R 0.09 0.04 TreynorRatioZ 0.062 0.8 V V V V p f p R R 0.12 0.04 SharpeRatioM 0.59 0.22 - - = = = s p f p R R 0.12 0.04 TreynorRatioM 0.08 1.0 - - = = = b
X 0.26 0.1 0.16% Y 0.2 0.09 0.01% Z 0.15 0.06 -0.01% Market 0.59 0.08 0% 13-8 Normal Probabilities 10 Value-at-risk (VaR) Statistic:  2.5% T=1/12 2.5% Expected loss: -23.96%  21  Value-at-risk (VaR) Statistic:  Michael Moped Manufacturing stocks:  E (RM) = 22%;  M = 56% σ p = 0.24434 = 24.434% σ VaR statistic with T=1/2: E (R p ) = 18%;  σ p  = 45% T = 1/12 for a month time horizon, we can  calculate this VaR statistic: Prob (R P.T  E (R p ) * T – 1.96 *  ơ T 1/2  = Prob (R P.T  18* 1/12 – 1.96 * 45% T 1/2 = Prob (R P.T  23.96%) = 2.5% Tyler Trucks Stock: E (R T ) = 14%;  σ T  = 31%  Corr (R T,  R M ) = -0.5 ( ) [ ] ( ) 2 T 2 2 0.56 *0.14 0.5 *0.31*0.56*0.22 x 0.31 *0.22 0.56 *0.14 0.14 0.22 * 0.5 *0.31*0.56*0.22 - - = + - + - T 0.063 x 0.875966 0.0719206 = = - - 2 2 2 2 p T T M M T T M M T M x X 2X X Coor R R V P ( ) ( ) ( ) p T T M M E R x E R x E R = + ( ) p E R 0.875966*0.14 0.124034*0.22=0.149923=14.9923% = + - - - - - - - - - - - - - - - - 2 M T T M T* M * M T 2 M M T T M T M T* M * M * E R Coor R R * E R x * E R *E R R R * Coor R R * E R V V V V V V 2 2 2 2 p 0.875966 *0.31 0.124034 *0.56 2* 0.875966*0.31*0.124034*0.56* 0.5 V V V P.T p p Prob(R E R * T – 0.1645 * T V

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=5% Prob (RP.T  0.08896%)=5% P.T p p Prob(R E R * T – 0.1645 * T V P.T Prob (R 14.9923%* T – 0.1645 * 24.434% T) V

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Chapter 14: The option premium was \$2, so you paid \$200 per contract or \$1,000 total. The net profit is \$3,500 - \$1 The option premium was \$4, so you paid \$400 per contract or \$3,200 total. So the net profit is \$7,200 -  If the stock is selling for \$90, your profit is \$0 on the stock, so your percentage return is 0 percent. Your If the stock is selling for \$110 in 90 days, your profit on the stock is \$20 per share, or \$4000 total. The p 8)  Using the put-call parity formula, you have the price of put option as follows: 14) You have agreed to sell 2000 shares for \$40 per share if the buyer chooses to exercise the right to  If the stock price is \$30, the buyer will not exercise the call option contract. So you gain \$2.5
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