5. Now answer the same question using the resampling approach. That is, randomly resample 10,000
5-period paths of returns, compute the cumulative 5-period return for each path, and compute the
fraction of the 10,000 draws in which the cumulative stock (b
1. Based on Matlab calculation, the sample mean, standard deviation, and t-test result is as below:
Mean (%)
Std (%)
Z score
Australia
0.3801
4.0936
2.0598
France
0.3789
4.6094
1.8232
Germany
0.4125
4.0071
2.2833
Italy
-0.1093
5.2835
-0.4589
Japan
0.8584
2.
a)
Plotting the cumulative return of investing in a 2x LETF vs. investing in a double-levered corresponding
unlevered ETF as below.
We observe that the double-levered investment in an unlevered ETF (2 times 1x ETF) outperform the
corresponding 2x LETF.
1(a)
>sum(Stock>Tbill)
61
Total years=2015-1926+1=90
Frequency: 61/90=0.6778
As Claires forecasting accuracy 60% is lower than the actual frequency that stock return higher than Tbill, Claires forecasting accuracy is not as impressive.
1(b)
> prod(1+Stock
1. Estimating E and V by the sample estimates
(a)
The sample estimates return E is
0.0075
0.0061
0.0079
0.0140
0.0170
The sample estimates covariance matrix V is
0.0025 0.0009 0.0011 0.0007 0.0017
0.0009 0.0033 0.0015 0.0017 0.0016
0.0011 0.0015 0.0051 0.
1.
a)
Based on the Matlab calculation, the correlation between the innovations in liquidity and the VIX index is
-0.2589. The magnitude of this correlation is smaller than the magnitude of the correlation between
liquidity and volatility reported in the o
1.
(a)
Riteput went out of business on Aug 31 st, 1998. The reason Riteput went out of business was because
the amount of money required ($349.2543 million) to buy back one-month-old options to close out
existing position was above the funds total capital
One color 60% screen of black with 100% black
Reversed out of color background 15% screen of black
with 100% white or 428 Medium Gray with 100% white
BUS 41100: Applied Regression Analysis
Fall 2015-2016
(Preliminary & Subject To Change)
Instructor: Max H
1. Performance Evaluation and Market Timing
(a) Unconditional estimates
i.
Based on Matlab calculation, the funds unconditional alpha is -0.0002, beta is 0.6996
ii.
The fund manager doesnt seem to be skills, as the unconditional alpha here is negative
(b)
1.
The 20-year Sharpe ratio of Ford is 0.5603, and the 20-year Sharpe ratio of the market portfolio is
1.4787. Based on the Sharpe ratios, I wont not participate in the FLOP plan if no discount is offered on
Fords stock.
2.
Sharp ratio = (return rfr ) /st
BUS 41100 Applied Regression Analysis
Week 1: Introduction, Simple Linear
Regression
Data visualization, conditional distributions, correlation,
and least squares regression
Max H. Farrell
The University of Chicago Booth School of Business
The basic probl
42001:
Competitive
Strategy
Eric Budish
Lecture 7a: Introduction to
Strategic Interaction
1
Plan
Lecture 7a: Introduction to Strategic Interaction
Lecture 7b: Dynamic Pricing Rivalry
Break
Shrimp Game Wrapup
American Airlines Case
2
An introduction
to str
42001:
Competitive
Strategy
Eric Budish
Lecture 4: Economies of
Scale and Scope
1
The question
This module of the course is about integration decisions
How big should a firm be?
When does it make sense to combine different
activities within the same fi
42001:
Competitive
Strategy
Eric Budish
Lecture 9. Network Effects I:
Creating & Capturing Value
1
Plan for today
Moves that change the game
Network effects: theory overview
Mini case studies: Opentable, Dropbox
Break
Real case study: Nintendo
2
Chan
42001:
Competitive
Strategy
Eric Budish
Lecture 10. Network Effects II:
Standards, Wars of Attrition,
and Platform Competition
1
Plan for Today
Lecture
Break
Case: App Stores
Course Wrapup
2
A Few Auction Games
Auction 1
Prize: a $20 bill
Auction fo
42001:
Competitive
Strategy
Eric Budish
Lecture 5: Ownership,
Contracts and Incentives
1
Last week
Compared merged A+B to A and B alone
When will A+B generate more profit?
When will A+B create more value?
When will A+B capture more value?
2
But.
A+B
42001:
Competitive
Strategy
Lecture 8: Entry and Entry
Deterrence
Eric Budish
1
Entry barriers: review
In week 1, we distinguished three categories of entry
barriers:
Economies of scale & sunk costs
Incumbent advantages on the demand and supply
sides (
42001:
Competitive
Strategy
Eric Budish
Lecture 3: Sustainable
Competitive Advantage
1
Review of last week
The most important lesson from this part of the class is
that relative advantages are what determine firms
profitability
High-level question:
Wha
Intro of US & Cuba History
Current changes
Import and Export
Future Opportunities
SWOT Analysis
Sources:
http:/www.usatoday.com/story/news/world/2015/12/15/cuba-us-one-year-anniversarydiplomatic-relations-whats-changed/77085846/
http:/www.cfr.org/cuba/us
LAW2010 Hospitality Law Discussion Rubric
Category
Excellent
Very Good
Satisfactory
Unsatisfactory
Quality of Initial
Response
Understanding
of Course
Materials
Initial response displays a very strong
understanding of the course materials
and underlying
This Week's Topic: Do you have difficulty planning and organizing in your personal life? Please share why
you do or don't have difficulty.
I do not believe I have any difficulty because of the fact that everything I do each day in my daily
life is written
Study Guide for Quiz 1:
Strategy for Preparation: Read your class notes and PPTS (Intro 1 and 2, Mass Customization) to
answer questions from the list of topics/concepts provided below.
Detailed List of Topics/Sub-Topics/Concepts for Quiz 1
Key components
True / False
1. Of traits, skills, and behavior, the important component of leadership style is behavior.
a. True
b. Fals
e
ANSWER:
True
POINTS:
1
DIFFICULTY:
Easy
REFERENCES:
p. 70
LEARNING OBJECTI MGMT.LUSS.16.03-01 - LO: 03-01
VES:
NATIONAL STANDAR Uni
True / False
1. Position power is power is derived from top management, and it is delegated down the chain of command.
a. True
b. Fals
e
ANSWER:
True
POINTS:
1
DIFFICULTY:
Easy
REFERENCES:
p. 146
LEARNING OBJECTI MGMT.LUSS.16.05-01 - LO: 05-01
VES:
NATION
True / False
1. Communication is the process of conveying information and meaning.
a. True
b. Fals
e
ANSWER:
True
POINTS:
1
DIFFICULTY:
Easy
REFERENCES:
p. 184
LEARNING OBJECTI MGMT.LUSS.16.06-01 - LO: 06-01
VES:
NATIONAL STANDAR United States - BUSPROG -
True / False
1. Understanding people's personalities is important because personality affects behavior as well as perceptions and
attitudes.
a. True
b. Fals
e
ANSWER:
True
POINTS:
1
DIFFICULTY:
Easy
REFERENCES:
p. 34
LEARNING OBJECTIVE MGMT.LUSS.16.02-01