Stats and Finance An Introduction-Solutions教程.pdfVIP

David Ruppert Statistics and Finance: An Introduction Solutions Manual July 9, 2004 Springer Berlin Heidelberg NewYork Hong Kong London Milan Paris Tokyo 2 Probability and Statistical Models 1. (a) E (0.1X + 0.9Y ) = 1. 2 2 Var(0.1X + 0.9Y ) = (0.1 )(2) + 2(0.1)(0.9)(1) + (0.9 )(3) = 2.63. (b) Var{wX + (1 − w)Y } = 3w2 − 4w + 3. The derivative of this expression is 6w − 4. Setting this derivative equal to 0 gives us w = 2/3. The second derivative is positive so the solution must be a minimum. In this problem, assets X and Y have same expected return. This means that regardless of the choice of w , that is, the asset allocation, the expected return of the portfolio doesn’t change. So by minimizing the variance, we can reduce the risk without reducing the return. Thus the ratio w = 2/3 corresponds to the optimal portfolio 2. (a) Use (2.54) with w1 = (1 1)T and w2 = (1 1)T . (b) Use part (a) and the facts that Cov(α X, α X ) = α α σ2 , Cov(α X, Z ) = 1 2 1 2 X 1 0, Cov(Y, α X ) = 0, and Cov(Y, Z ) = 0. 2 (c) Using (2.54) with w1 and w2 the appropriately-sized vectors of ones, it can be shown that n1 n2 n1 n2 Cov X , Y = Cov(X , Y ). i i i i i=1 i=1 i =1 i =1 3. The likelihood is n 2