Solutions to Project 8 Copy 2.docVIP

Solutions to Project 8 Copy 2 1. a. Dow Jones average annual return is 14.0416% Dow 10 average annual return is 19.3816% b. Dow Jones S is 16.9243% Dow 10 S is 16.0988% c. Dow Jones Dow 10 Dow Jones Dow 10 Comments: The Dow 10 Strategy has higher reward with less risk! d. Check out “The Dogs of the Dow” strategy on the Web. 2. A B C D E F G Problem 2 Project 8 Copy 2 Time (t) High (H) Low (L) Close(P) ln(Pj/Pj-1) ln(Hj/Lj) 0 100 1 108 102 104