Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% , 1.21% and 1.31% ,respectively. The prices of the assets at close of
trading yesterday were $21, $31 and $41. Covariances are cov(X; Y ) = 0:6; cov(X;Z) = 0:8; cov(Y;Z) = 0:9
Correlations and volatilities are updated using RiskMetrics EWMA model.with λ= 0:91. If the prices of
the three, assets at close of trading today are $25 , $35 and $45, forecast the correlation coefficiets for today.

Expert Solution

orchestra answered 1 year ago

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

Suppose that the current daily volatilities of assets X , Y and Z are 1.01% , 1.21% and 1.31% ,respectively. The prices of the assets at close of trading yesterday were $21, $31 and $41. Covariances are cov(X; Y ) = 0:6; cov(X;Z) = 0:8; cov(Y;Z) = 0:9 Correlations and volatilities are updated using RiskMetrics EWMA model.with λ= 0:91. If the prices of the three, assets at close of trading today are $25 , $35 and $45, forecast the correlation...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%,...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.26. The parameter λ used in the EWMA model is 0.95. (a) Calculate the current estimate of the covariance between the assets. (b) On the assumption that the prices...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%,...

Suppose that the current daily volatilities of asset A and asset B are 1.65% and 2.32%, respectively. The prices of the assets at close of trading yesterday were $35 and $52 and the estimate of the coefficient of correlation between the returns on the two assets made at that time was 0.26. The parameter λ used in the EWMA model is 0.95. (a) Calculate the current estimate of the covariance between the assets. (b) On the assumption that the prices...

Suppose x,y ∈ R and assume that x < y. Show that for all z ∈...

Suppose x,y ∈ R and assume that x < y. Show that for all z ∈ (x,y), there exists α ∈ (0,1) so that αx+(1−α)y = z. Now, also prove that a set X ⊆ R is convex if and only if the set X satisfies the property that for all x,y ∈ X, with x < y, for all z ∈ (x,y), z ∈ X.

The curried version of let f (x,y,z) = (x,(y,z)) is let f (x,(y,z)) = (x,(y,z)) Just...

The curried version of let f (x,y,z) = (x,(y,z)) is let f (x,(y,z)) = (x,(y,z)) Just f (because f is already curried) let f x y z = (x,(y,z)) let f x y z = x (y z)

Let X, Y ⊂ Z and x, y ∈ Z Let A = (X\{x}) ∪ {x}....

Let X, Y ⊂ Z and x, y ∈ Z Let A = (X\{x}) ∪ {x}. a) Prove or disprove: A ⊆ X b) Prove or disprove: X ⊆ A c) Prove or disprove: P(X ∪ Y ) ⊆ P(X) ∪ P(Y ) ∪ P(X ∩ Y ) d) Prove or disprove: P(X) ∪ P(Y ) ∪ P(X ∩ Y ) ⊆ P(X ∪ Y )

If X, Y and Z are three arbitrary vectors, prove these identities: a. (X×Y).Z = X.(Y×Z)...

If X, Y and Z are three arbitrary vectors, prove these identities: a. (X×Y).Z = X.(Y×Z) b. X×(Y×Z) = (X.Z)Y – (X.Y)Z c. X.(Y×Z) = -Y.(X×Z)

a) The assets of X, Y and Z have the following risk and return statistics. &nbsp

a) The assets of X, Y and Z have the following risk and return statistics. Expected return Assets-X 16% Standard Deviation-X 20%. Assets-Y 20% Standard Deviation-Y 25%. Assets-Z 25% Standard Deviation-Z 35%. Correlation Coefficient between X and Y 0.50 X and Z 0.75 Y and Z -1.00 Required: Determine the expected rate of return and risk of portfolio comprised on 25 percent X, 50 percent Y, and 25 percent...

10. Suppose that X, Y and Z are normally distributed where X ≈ N(100,100), Y ≈...

10. Suppose that X, Y and Z are normally distributed where X ≈ N(100,100), Y ≈ N(400, 400) and Z ≈ N(64,64). Let W = X + Y + Z. a) Describe the distribution of W, give a name and parameters E(W) and Var(W). b) Use Excel or R to generate 200 random values for X, Y and Z. Add these to obtain 200 values for W. Create a histogram for W. In Excel use the NORMINV(rand(),mean, sd) function. c)...

Digital Logic Simplify: F = (x’∙ y’∙ z’) + (x’∙ y ∙ z’) + (x ∙...

Digital Logic Simplify: F = (x’∙ y’∙ z’) + (x’∙ y ∙ z’) + (x ∙ y’ ∙ z’) + (x ∙ y ∙ z) F = (x + y + z’) (x + y’ + z’) (x’ + y + z’) (x’ + y’ + z)

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Suppose that the current daily volatilities of assets X , Y and Z are 1.01% ,...

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