Please answer all part : Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2). (a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7? (b) What is the covariance between r7(3) and r9(3)? (c) What is the conditional distribution r17(3) given that r16 =0.004 (d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
Please answer all part : Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2). (a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7? (b) What is the covariance between r7(3) and r9(3)? (c) What is the conditional distribution r17(3) given that r16 =0.004 (d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter13: Probability And Calculus
Section13.CR: Chapter 13 Review
Problem 29CR
Related questions
Question
Please answer all part :
Let rt be a log return. Suppose that r0, r1, . . . are i.i.d. N(0, 0.01^2).
(a) What is the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7?
(b) What is the covariance between r7(3) and r9(3)?
(c) What is the conditional distribution r17(3) given that r16 =0.004
(d) What is the probability that the gross return over the first 10 times periods is at least 1.05?
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step 1: State the given information.
VIEWStep 2: Determine the distribution of rt(8) = rt + rt−1 + rt−2 +...+ rt−7
VIEWStep 3: Calculate the covariance between r7(3) and r9(3)
VIEWStep 4: Determine the conditional distribution r17(3) given that r16 =0.004
VIEWStep 5: Calculate the probability that the gross return over the first 10 times periods is at least 1.05
VIEWSolution
VIEWStep by step
Solved in 6 steps with 5 images
Recommended textbooks for you
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,
Algebra & Trigonometry with Analytic Geometry
Algebra
ISBN:
9781133382119
Author:
Swokowski
Publisher:
Cengage
Trigonometry (MindTap Course List)
Trigonometry
ISBN:
9781337278461
Author:
Ron Larson
Publisher:
Cengage Learning
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,
Algebra & Trigonometry with Analytic Geometry
Algebra
ISBN:
9781133382119
Author:
Swokowski
Publisher:
Cengage
Trigonometry (MindTap Course List)
Trigonometry
ISBN:
9781337278461
Author:
Ron Larson
Publisher:
Cengage Learning