This preview shows pages 1–9. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: HOMEWORK Group 1: No. First name Last name 1 Tuan Nguyen 2 Thong Nguyen 3 Quang Nguyen Chapter 13 132 Standard Deviation => Onemonth variance is => Twomonth variance is =>Twomonth Standard Deviation is 135 Performance Evaluation 0.17 {0.04 + [0.120.04] * 1.3} = 0.155 0.15 {0.04 + [0.120.04] * 1.2} = 0.014 0.09 {0.04 + [0.120.04] * 0.8} = 0.014 0.12 {0.04 + [0.120.04] * 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 0.060.01% Market 0.59 0.08 0% 138 Normal Probabilities 10 Valueatrisk (VaR) Statistic: 2.5% T=1/12 2.5% Expected loss: 23.96% 21 Valueatrisk (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....
View
Full
Document
This note was uploaded on 06/18/2011 for the course ECON 6001 taught by Professor Hkea during the Spring '11 term at UNCuyo.
 Spring '11
 hkea

Click to edit the document details