FIN 6310001 Fall 2015
Prof. Harold Zhang
Problem Set #1
Due in class on Monday, September 14, 2015
1. There are two random variables, X and Y. X takes on values of 3, 1, and 2, while Y can take the
values of 2, 0, and 1. The probability for X and Y at e
FIN 6310.001 Fall 2015
Prof. Harold Zhang
Solutions for Problem Set 1
1. Since we know the values of X and Y in each the possible state and the corresponding probabilities, the
characteristics of each random variable X and Y (think of them as the outcome
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FIN 6306 Quantitative Methods in Finance
Session 5 of 15
Ron Dearing, FCA, FSA, MAAA, MBA, PhD
2/8/17
Agenda
1
Q&A and Review
2
Population and Sample Characteristics
3
Relationships Among N(0, 1), 2 , t , and F1 ,2
4
Review HW 1 Student Solutions
5
Confid
FIN 6306 Quantitative Methods in Finance
Ron Dearing, FCA, FSA, MAAA, MBA, PhD
1/11/17
Agenda
1
Housekeeping
2
Minitab 17
3
Key Dates and Events
4
Review
5
Question Posed at the End of Last Session
6
Prototype Continuous Distribution: Exponential
7
Protot
FIN 6306 Quantitative Methods in Finance
Session 6 of 15
Ron Dearing, FCA, FSA, MAAA, MBA, PhD
2/15/17
Agenda
1
Q&As
2
Review HW 3 Solution
3
HW 4
4
Minitab Functionality
5
Relationships Between Normal and Lognormal
6
Introduction to Discrete Probability
Exam1 Review
FIN6306
Lecture1 (chapter 12):
What risk factors affect the interest rate?
How to derive EAR from APR or the other way?
The difference between the timeweighted rate of return and the moneyweighted rate of return
and how to compute each of
HW2a:
HW2b:
1. The mean return of stock B is more than 10 times of the mean return of stock A. However, the
median return of stock B is greater than that of stock A since median is not influenced by
outliers. The standalone risk of stock B is higher than
FIN6306
Quiz3
LastNamewm FirstName ID
Problem 1.
Investment analyst Smith examines Whether Future Fund manager has added extra value. He
collects Future Fund returns and S&P 500 returns for 36 months. And compute some statistics in
the following:
Cov(Futu
Dow Jones Industrial Average (DJIA)
Some facts
30 industrial stock priceweighted average.
Oldest and bestknown in the U.S.
Used to representing about a quarter of the market value of the NYSE stocks.
Quantitatively
DJIA
1
1
( P P2 . P30 )
1
divis
FIN 6306 Quantitative Methods in Finance
Chapter 1:
Interest Rates and Asset Returns
1
Introduction
Study of Finance: Analysis of Benefits of Making Investments
Goal of Investments Enhance Wealth and Income of investors
Enhancement: Return
Enhancement
FIN6306 Project 2
Estimate company betas (the companies in project 1) using regression analysis.
In practice, investors generally use beta to measure the market risk of equity. Many financial
websites provide the information of companys betas. However, wi
To do model diagnosis in regression analysis, we can examine the Rsquare, test result of ANOVA
analysis (Ftest), residual plots and model assumption evaluation. The following is an example:
Regression Statistics
Multiple R
R Square
Adjusted R Square
Sta
Final Exam Review
FIN6306
Lecture 5:
Explain a linear regression model and its assumptions.
From the output of a regression model, evaluate the overall goodness of fit, test the significance
of coefficients, and write down the regression model from the ou
FIN6306
Project1:
Download 4 years (Jan. 2011Jan. 2015) of weekly adj. close price for your favorite U.S. stocks
of your choice and S&P500. Each group needs to choose 5 stocks.
Direction on how to retrieve historical prices from yahoo.finance.com:
Go to
FIN 6306 Quantitative Methods in Finance
Lecture 2:
Presentation of Data and
Descriptive Statistics
1
Reading / Excel Functions / Web Links
Readings:
Excel Functions:
Data Get External Data
QIA* Ch. 3
Data Data Analysis Histogram
Statistical Concepts
FIN 6306 Quantitative Methods in Finance
Chapter 12:
Time Value of Money and
Discounted Cash Flow
1
Introduction
Study of Finance: Analysis of Benefits of Making Investments
Goal of Investments Enhance Wealth and Income of investors
Enhancement: Retur
FIN 6306 Quantitative Methods in Finance
Chapter 7:
Time Series Analysis
1
Outline
Basics
Univariate Stochastic Models
Autoregressive processes (AR), integration, moving average
(MA) model, Autoregressive moving average model (ARMA)
Tools for Analyzin
FIN 6306 Quantitative Methods in Finance
Chapter 4:
Probability Distributions:
Applications to Asset Returns
1
Reading / Excel Functions / Web Links
Readings:
Excel Functions:
QMF* Ch. 4
Data Get External Data
Probability Distributions: Data Data Anal