Tutorial 2 solutions
3.6. The probability of a male surviving to 30 is 0.97146. The probability
of a male surviving to 90 is 0.13988. The probability of male surviving to
90 conditional on 30 reached is therefore 0.13988/0.97146=0.14399. The
probability o
Tutorial 1 solution
1.15
The impact of investing w1 in the first investment and w2=1w1 in the second investment is shown in the table below. The
range of possible risk-return trade-offs is shown in figure
below.
w1
w2
mu_P
sigma_P
1
0
0.08
0.14
0.8
0.2
0.
Tutorial 10 Selected Solutions
Solution Question 12.17 - Part d) and e) are not examinable)
Solutions for old Exam Question
Question 1)
Note that we calculate the values for the 1-day Value-at-Risk here (my mistake - no
further information is provided in
Tutorial 9 Selected Solutions
Solution Question 10.16
Try to calculate the cumulative probability distribution for V1 and V2, following the procedure
that was used in the tutorial.
Density Function for Exponential Distribution: f ( x) = e x
Cumulative Dis
Tutorial 8 Selected Solutions
Solution Question 9.20
Solution Question 9.21
Solutions for old Exam Question
Question 1)
Works exactly the same way as question 9.2 in the textbook.
The standard deviation of the percentage price change per day in one day is