Solutions to Project Copy 【DOC精选】.docVIP

Solutions to Project 10 Copy 2 1a. (sample standard deviation). b. c. . Now . So . d. . Note that for P = 95%, Z* = 1.96 is a better approximation which will change the answers (so 539 in part d). 2 is a very loose approximation related to 95%. 2. sample standard deviation. a. . The Null Hypothesis is . The Alternative Hypothesis is . Now . We can’t reject so the ad campaign has not been shown to be successful. b. Now . We reject the Null Hypothesis in favor of the Alternative Hypothesis. The ad campaign has been shown to be successful. 3a. . . Note that the Sharpe Ratio is . This part is similar to Part a except that the probabilities are changed to reflect more weight to recent data. Let p = the probability of year 1 whence 2p = probability of year 2 and 4p = probability of year 3. So . So Note that the Sharpe Ratio is . 4. A B C D E F G H I Solution to Problem 4 of Project 10 Copy 2 1/(4ln(2))= 0.360674 Day High (H) Low (L) Close (P) ln(Pj/Pj-1) ln(Hj/Lj) .360674ln(Hj/Lj)^2 0 40 1 45 40 43 0.072321 0.117783 0.005004 2 48 45 45 0.045462 0.064539 0.001502 3 46 44 45 0 0.044452 0.000713 4 47 42 44 -0.02247 0.112478 0.004563 5 50 45 50 0.127833 0.105361 0.004004 vol p day 0.05955 sample 0.003157 is average Vol p ann 0.9528 sample vol p day 0.056188 Pop’tion Vol p an 0.899 Pop’tion K L M N O .5[ln(Hj/Lj)]^2 .39[ln(Pj/Pj-1)]^2 L - M 00.002039808 0.004897 00.000806063 0.001277 00 0.000988 00.000196961 0.006129 00.006373135 -0.00082 0.002493 is average vol p day 0.049934 Pop’t