IB9W00: Quantitative Methods for Financial Management
Seminar 5 Suggested Solutions
Instructor: Danmo Lin
Warwick Business School
Let us consider a sample of observations for the population of workfor
1.
(a)
Calculate the simple returns using the formula
=
( + )/
1
1 /1
Where and are the stock price and dividend at time respectively, and is the cumulative
factor to adjust prices for splits and non
Exercise 3
1.
The most straightforward way is to use scatter plot which weve already introduced. For example,
you can use the command
scatter ge_ret sp500_ret
to plot GE returns against sp500 returns.
(a)
Stata code:
gen tsvar = [_n]
tsset tsvar
corrgram ge_ret
Result:
AC (autocorrelation) shows the correlation between the current value of ge_ret and kth lag of
ge_ret. PAC (partial autocorrelation)
1. (a) To present simple summary statistics, use the command summarize ge ret pg ret ibm ret sp500 ret. To
present the correlation structure between variables, use corr ge ret pg ret ibm ret sp500 ret
1. Your boss is interested in testing whether CAPM is a good model of expected returns. One of the hypothesis
that CAPM implies is the relation between beta of a portfolio and its expected return. Spe
1. It will be a good idea to create a time series variable in STATA before performing the analysis. To do this,
follow the steps discussed in Seminar 2. More precisely, type the command gen tsvar = [
Problem Set 3 - Appendix to the solutions
You may have a gap between running Seminar3 do.do on Stata and understanding the solutions to
Seminar 3 in Seminar3 Solutions.pdf. This document might help yo
Question: CAPM is good or not?
The capital asset pricing model is very well-known and has a great theoretical motivation.
But it would be nice to know how well it explains returns.
You are provided wi
1. Your boss wants to analyze the dynamic properties of returns that you previously considered, IBM, PG and
GE. To this end, you will have to perform the following analysis and interpret your results.
IB9W00: Quantitative Methods for Financial Management
Assignment - Seminar 5
Instructor: Danmo Lin
Warwick Business School
Exercise 1
Let us consider a sample of observations for the population of wor
1. Your boss wants you to analyze the alpha of the three companies you considered previously, IBM, GE and
PG. To do this, you need to perform the following steps.
(a) Present simple summary statistics
1. Bayes Law:
P r( = 0.6|A) =
P r( = 0.6, A)
P r(A)
First,
P r( = 0.6, A) = P r(A| = 0.6) P r( = 0.6) = 0.62 0.45
Second,
P r(A) =
P r( = 0.6, A) + P r( = 0.7, A)
= P r(A| = 0.6)P r( = 0.6) + P r(A| =
1. Suppose that the probability of having a customer with bad credit is either 0.6 or 0.7, i.e. P r(Customeri has bad credit) =
is either 0.6 or 0.7. At the beginning, you believe that the probabilit
Suppose that you are interested testing the properties of monthly returns on PG, GE, IBM and S&P 500. To
this end, you will use the same data from Seminar 1 and perform the following in STATA.
1. Test
Complex Number and
its Application in Kinematics
Extension of Number System
We know that there is no solution in real number when we have a
equation as
2 = 1
So we tend to introduce a new number i to
NAME
CLASS
DATE
Applications of the Derivative
You will be assessed on the following criteria:
Criterion B: Investigating patterns in mathematics (max
8)
Criterion C: Communicating in mathematics (max
An Application of Mixed Nash Equilibrium
1. Introduction
There are many game problems in life. One of them is a classic example of a Battle of sexes (a game
between a couple), which not only exists in
Assessment 2 for MA590
March 1, 2017
1
Radioactive phosphorus is used as a tracer in the lab. Let the amount of phosphorus at time t
be m(t). The phosphorus takes 14 days for half of it to decay. Afte
lengthn function: compute length in bytes(characters) of text excluding trailing blanks.
lengthc function: compute length in bytes(characters) of text including trailing blanks.
countw function: count
4.
(a)
To summarize the distribution of total income for married men and women, we should make sure
whether the marital status is married. So, we first summarize the marital status.
We can see all the
1.
a.
a x
We can set a exponential function: y=
so that
2=at and let the half-life as one unit.
Hence, we can obtain the parameter is 0.693147. thus, we can derive that after 1.584963 units can meet
2.
function h=hilb(n)
h=zeros(n,n);
for i=1:n
for j=1:n
h(i,j)=1/(i+j-1);
end
end
end
function x=backslash(n)
B=ones(n,1);
h=zeros(n,n);
for i=1:n
for j=1:n
h(i,j)=1/(i+j-1);
end
end
x=h\B;
end
X=back
(a) Because of a3 dominates a1, so column a1 can be removed from our consideration. (every entry
in column a3 is larger than the corresponding entry in the a1)
(b) For play B, we would subtract each n
MA131 - Analysis 1
Workbook 8
Series II
Autumn 2016
Contents
4.9
4.10
4.11
4.12
4.13
Convergence of series - continued
Series with positive terms . . . .
Ratio Test . . . . . . . . . . . . .
Integral