International Portfolio Management Fall 2010 PROBLEM SET 1 Investment Policy and Bond Portfolio management Due date: Friday‚ September 17‚ 5:00 pm. No late problem sets will be accepted. 1. Assume that at retirement you have accumulated $825‚000 in a variable annuity contract. The assumed investment return is 5.5% and your life expectancy is 18 years. What is the hypothetical constant benefit payment? PV = -825‚000‚ i = 5.5‚ n = 18‚ PMT = 73‚358.93. 2. You manage a
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Formulas (to differential equations) Math. A3‚ Midterm Test I. sin2 x + cos2 x = 1 sin(x ± y) = sin x cos y ± cos x sin y tan(x ± y) = tan x±tan y 1∓tan x·tan y differentiation rules: (cu) = cu ′ ′ ′ ′ ′ (c is constant) cos(x ± y) = cos x cos y ∓ sin x sin y (u + v) = u + v (uv)′ = u′ v + uv ′ ′ ′ u ′ = u v−uv v v2 df dg d dx f (g(x)) = dg dx sin 2x = 2 sin x cos x tan 2x = sin x = 2 cos 2x = cos2 x − sin2 x 2 tan x 1−tan2 x 1−cos 2x ‚ 2 integration rules: cos x = 2
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in the 1st row → OK • This gives you the covariance matrix • To fill out the matrix: Copy → Paste Special → Transpose • 6. Generating Scenarios Data Analysis → Random number generation → # of variables: 6 (the number of companies in the portfolio) → # of random numbers: 10 000 → distribution: uniform Calculate the sum of each row for the weights‚ they’ll never = 1 Normalize the weights: divide the weight of each stock by the sum of all the weights; this makes the weights=1 • You cannot
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specimens of PVC pipe. Assume that the population is normally distributed. The sample mean is ̅ and the sample standard deviation is . Find a 99% lower confidence bound on Izod impact strength. Sol: 99% lower confidence bound on mean Izod impact strength n 20 x 1.25 s 0.25 t0.01‚19 2.539 s x t0.01‚19 n 0.25 1.25 2.539 20 1.108 2. (28-5) (18 points) A random sample of 100 automobile owners shaws that‚ in the state of Virginia‚ an automobile
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Frank J. Fabozzi‚ CFA Yale University and Journal of Portfolio Management Sergio M. Focardi The Intertek Group Petter N. Kolm Yale University Trends in Quantitative Finance Statement of Purpose The Research Foundation of CFA Institute is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide. The Research Foundation of CFA Institute and the Research Foundation logo are trademarks owned by The
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Discuss the approach to teaching math taken in the Montessori classroom. Montessori is an approach which many have adopted these days as a teaching method for children in preschool. The materials which they use create an environment that is developmentally appropriate for the children. Montessori believes that with the helped of trained teachers and the proper environment which the children are placed in‚ intelligence and different skills will be developed in the child (Casa Montessori‚
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Taras Malsky MT.1102 AB Dr.S.Washburn Egyptian Math The use of organized mathematics in Egypt has been dated back to the third millennium BC. Egyptian mathematics was dominated by arithmetic‚ with an emphasis on measurement and calculation in geometry. With their vast knowledge of geometry‚ they were able to correctly calculate the areas of triangles‚ rectangles‚ and trapezoids and the volumes of figures such as bricks‚ cylinders‚ and pyramids. They were also able to build the Great Pyramid
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Walmart’s Keys to Successful Supply Chain Management As the following case study demonstrates‚ a successful supply chain managment strategy can lead to lower product costs and highly competitive pricing for the consumer. Over the past ten years‚ Walmart has become the world’s largest and arguably most powerful retailer with the highest sales per square foot‚ inventory turnover‚ and operating profit of any discount retailer. Walmart owes its transition from regional retailer to global powerhouse
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In Mathematics‚ a periodic function is a function that repeats its values in regular intervals or periods. Periodic functions are used throughout science to describe oscillations‚ waves‚ and other phenomena that exhibit periodicity. Periodic functions are those that repeat on a set interval. All trigonometric functions are periodic. They are useful because one can determine the value of the function anywhere in the domain. If a function is periodic‚ then there is some value n for which
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Trends in Fundraising As is the case in any industry‚ fundraising and philanthropy are continually going through new trends. These trends are spawned as 1) a response to cultural pressures‚ 2) developed freely in the minds of industry leaders‚ or 3) borrowed from other industries and adapted. Today there are two major trends and a myriad of minor applications (mini-trends)‚ that are a direct response to the major trends in donation giving. Both of these major trends are born from a response to heightened
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