Problem Set 2

Question 3 this question asks you to study the

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Unformatted text preview: mean of the full sequence to be closer or further from 0.5 than the initial sequences? Justify based on one statistical result discussed in class. Question 3. This question asks you to study the distribution of the stock of General Electric. You can find the historical prices of GE on the Canvas website. The rate of return of a stock is determined by (pt/pt ­1 – 1), where p t is the price of the stock in period t. a) Using the prices in this file, compute the sequence of daily rates of return. Calculate the sample mean and the sample variance. b) Plot the empirical histogram using Excel. Plot the normal distribution function with mean and variance equal to the sample mean and sample variance. c) Compare the empirical histogram with the normal distribution. d) Calculate the value at risk at 5% of a $100 investment in GE stocks using the normal distribution and the empirical distribution....
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This note was uploaded on 02/03/2014 for the course INSR 205 taught by Professor Kent/smetters/nini during the Spring '09 term at UPenn.

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