and b E. neither a nor b 2.Assume that stock market returns do follow a single-index structure. An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments. They will need to calculate ________ estimates of firm-specific variances and ________ estimates for the variance of the macroeconomic factor. A. 500; 1 B. 500; 500 C. 124‚750; 1 D. 124‚750; 500 E. 250‚000; 500 3.Suppose you held a well-diversified portfolio with a very
Premium Investment Stock Variance
hypotheses tested concerning the value of βj or its estimated values? Question 3: Techniques Consider the moving average process: Yt = εt + θ1 εt−1 + θ12 εt−12 with {εt }T a mean zero white noise process with variance σ 2 > 0. t=0 a. Calculate the mean of Yt . b. Calculate the variance of Yt . c. Calculate the autocovariance function of {Yt }T . t=a T =120 d. Assume that {yt }t=1 represents the monthly tons of ice cream sold in the UK between Oct. 2001 and Oct. 2012. What type of
Premium Time series analysis Variance
Both the interest rate‚ r‚ and variance rate‚ δ2‚ of the stock are constant (or in slightly more general versions of the formula‚ both are known functions of time—any changes are perfectly predictable). 3). Stock prices are continuous‚ meaning that sudden extreme jumps such as those in the aftermath of an announcement of a takeover attempt are ruled out. In this case‚ we do not take paying dividends into consideration. And we all set risk-free rate and variance rate are constant. But actually
Free Call option Strike price Standard deviation
probability (7%) 1. Let the random variable X follow a Binomial distribution with parameters n and p. We write X ~ B(n‚p). * Write down all basic assumptions of Binomial distribution. * Knowing the p.m.f. of X‚ show that the mean and variance of X are = np‚ and 2 = np(1 – p)‚ respectively. 2. A batch contains 40 bacteria cells and 12 of them are not capable of cellular replication. Suppose you examine 3 bacteria cells selected at random without replacement. What is the probability
Premium Normal distribution Probability theory Poisson distribution
and (C) The range of the data that would contain 68% of the results. (5 points). Raw data: sales/month (Millions of $) 23 45 34 34 56 67 54 34 45 56 23 19 Descriptive Statistics: Sales | Variable | Total Count | Mean | StDev | Variance | Minimum | Maximum | Range | Sales | 12 | 40.83 | 15.39 | 236.88 | 19.00 | 67.00 | 48.00 | Stem-and-Leaf Display: Sales Stem-and-leaf of Sales N = 12 Leaf Unit = 1.0 | 1 | 1 | 9 | 3 | 2 | 33 | 3 | 2 | | 6 |
Premium Standard deviation Normal distribution Sample size
CONFIDENTIAL CS/JAN 2012/QMT500 UNIVERSITI TEKNOLOGI MARA FINAL EXAMINATION COURSE COURSE CODE EXAMINATION TIME STATISTICS FOR ENGINEERING QMT500 JANUARY 2012 3 HOURS INSTRUCTIONS TO CANDIDATES 1. This question paper consists of five (5) questions. 2. Answer ALL questions in the Answer Booklet. Start each answer on a new page. Do not bring any material into the examination room unless permission is given by the invigilator. Please check to make sure that this examination pack
Premium Normal distribution Variance Probability theory
Mean and Variance of the Binomial Distribution The probability distribution of the Bernoulli trial with random variable X is given by Table 1 X=x P(X=x) 0 1-p 1 p The expectation and variance can be calculated as follow E X 01 p 1 p p Mean and Variance of the Binomial Distribution The expectation and variance can be calculated as follow Var X 0 1 p 1 p p 2 2 p p2 p1 p pq 2 Mean and Variance of the Binomial
Free Probability theory Normal distribution Random variable
Lecture Notes in Financial Econometrics (MSc course) Paul Söderlind1 1 January 2013 of St. Gallen. Address: s/bf-HSG‚ Rosenbergstrasse 52‚ CH-9000 St. Gallen‚ Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: FinEcmtAll.TeX 1 University Contents 1 Review of Statistics 1.1 Random Variables and Distributions . . . . . . . . . . . . . . 1.2 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Distributions Commonly Used in Tests . . . . . . . . . . . . . 1
Premium Normal distribution Variance
a.The mean return should be less than the value computed in the spreadsheet. The fund’s return is 5% lower in a recession‚ but only 3% higher in a boom. The variance of returns should be greater than the value in the spreadsheet‚ reflecting the greater dispersion of outcomes in the three scenarios. b.Calculation of mean return and variance for the stock fund: (A) (B) (C) (D) (E) (F) (G) Scenario Probability Rate of Return Col. B Col. C Deviation from Expected Return Squared Deviation Col. B
Premium Variance Standard deviation Risk
Observation = estimated relationship + residual: yi =+ ei => yi = b1 + b2 x + ei Assumptions underlying model: 1. Linear Model ui = yi - 1- 2xi 2. Error terms have mean = 0 E(ui|x)=0 => E(y|x) = 1 + 2xi 3. Error terms have constant variance (independent of x) Var(ui|x) = 2=Var(yi|x) (homoscedastic errors) 4. Cov(ui‚ uj )= Cov(yi‚ yj )= 0. (no autocorrelation) 5. X is not a constant and is fixed in repeated samples. Additional assumption: 6. ui~N(0‚ 2) => yi~N(1- 2xi‚ 2)
Premium Normal distribution Variance Estimator