equities代写 chart代写 price data代写 log-normal distribution代写

Question A

equities代写 Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.

a. Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.

Sol: step 1, unify the data into US dollar unit;equities代写

step 2, plot the new price data on one chart., then we get the pic below.

Step 3, pay attention to Richter Gedeon on 2013-7-11, the price collapsed from 35800 to 3570. remove this unusual point at first. Then plot the log return series of five equities.

Findings:  1) Bank of Japan suffered a sharp fall in price since 2013-05.

2) Apple Computer Inc ‘s return series has the lowest volatility.

3) Richter Gedeon has occurred collapse in 2013-07.

b. Assuming that these prices follow log-normal distribution, define the parameters of the five distributions.

Sol: using log-return series, we calculate daily mean and standard deviation.

Then we get the parameter =252*daily return and *daily volatility ,

Question B equities代写

Main idea: using linear interpolation to get the corresponding yearly rate.

For a. time to maturity: 8/12 Year

on 2013-12-6,  USDGovt; 12M  yearly rate = 0.1443%

USDGovt; 1M   yearly rate = 0.0371%

The corresponding yearly rate is 0.1053%.

For b, time to maturity: 9.5 Years

on 2013-12-6,  HUFGovt; 108M  yearly rate = 5.9005%

HUFGovt; 120M   yearly rate = 6.1466% equities代写

The corresponding yearly rate is 6.0235%.

For c, time to maturity: 5 years, yearly rate of USDGovt, 60M is 1.5122%.

For d, time to maturity: 5 years, yearly rate of PLNSwap,60M is 3.8476%.

For e, considering EUR Government Bond, with time to maturity 30 years.

yearly rate of EURGovt, 360M is 2.8173%.

Aggregate the data, and use Finance Calculator to calculate the current price of these five Bonds. (detail can be found in Sheet-QB)

The expected return and volatility are listed below,equities代写

Question C equities代写

1. a. minimize risk

sol: we can find that five bonds have low volatility, if we want to minimize risk, we can only hold US Treasury Bill.

1. b. Maximize expected return

sol: Apple Computer Inc has the highest expected return, then we can only hold Apple Computer Inc.

1. c. minimize 1-year-VaR(99%)

sol: we calculate the Value at risk of ten securities, result listed below

We can hold US Treasury Bill and Ford Motor Co, these two securities have low VaR(99%).

Question D

hold from 2013-12-6 to 2014-3-6.

Back test C-a, US Treasury Bill Price will = 100/(1+0.05388%)^0.25 = 99.9865

Return rate = 99.9865/99.9299-1=0.0567%;equities代写

Back test C-b, Apple Computer Inc’s return rate = 75.82/80-1=-0.0523;

Back test C-c, Ford Monto Co’s return rate = 15.67/16.7-1=-0.0617

When equal-weighted, the portfolio’s total return is 1/2*(0.0567%-0.0617)=-0.0306

We can find that bonds will outperform equities during the holding period.

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