FIN 6015 Homework-Group 1

FIN 6015 Homework-Group 1 - HOMEWORK Group 1: No. First...

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Unformatted text preview: HOMEWORK Group 1: No. First name Last name 1 Tuan Nguyen 2 Thong Nguyen 3 Quang Nguyen 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 Jensens Alpha 2 V a r ( R ) 0 . 0 4 2 0 = = s 2 0.0420 Var(R) 0.0035 12 = = = s 2 V a r ( R ) 0 .0 0 3 5 * 2 = 0 .0 0 7 = = s SD (R ) V ar(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 T reynorR atioX 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% p = 0.24434 = 24.434% VaR statistic with T=1/2: E (R p ) = 18%; 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 * 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%; 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 Prob(R E R * T 0.1645 * T V =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 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 - The option premium was $4, so you paid $400 per contract or $3,200 total....
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This note was uploaded on 06/18/2011 for the course ECON 6001 taught by Professor Hkea during the Spring '11 term at UNCuyo.

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FIN 6015 Homework-Group 1 - HOMEWORK Group 1: No. First...

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