If the solutions to any challenges are not here, send me an email and ask to have them posted here.
- Quant Quiz: Plot of Logarithm and Exponential: The only unusual part here is that the log
function is downward sloping instead of upward sloping (as it would be for base b larger than 1).
- Quant Quiz: Long-Short III: If you are underweight a stock but not short and the market
moves against you, the size of your active bet increases.
- Quant Quiz: Correlation I: Deeper Challenge: They are almost perfectly
negatively correlated because the five-day return to Stock 1 is, essentially, the mean times five
plus X, where X is a random variable, and the five-day return to Stock 2 is, essentially, the mean times five
minus X, where X is the same random variable.
- Figure 2.15 Exercise: I calculated betas relative to the portfolio with return 0.15.
- Figure 2.17 Exercise: The value of lambda_R is 0.07 (or 7 if expressed in decimals).
- The BEAR challenge. You should get BEAR--->EAR because eventually the balance grows so large
that the extra $1000 arriving each year is nothing.
- The two P/E challenges are straightforward enough.
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Last Updated: January 22, 2014