Question set代写 问题集代写 金融作业代写

Question set代写 Question A      a. Depict the price movements of the five equities on one single chart, create a chart on the returns.

Question A

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

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

        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.Question set代写

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

daily return	0.0008	0.0010	0.0005	-0.0003	-0.0001
daily volatility	0.0254	0.0173	0.0203	0.0227	0.0197

 

 

 

 

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

	Volkswagen	Apple Computer Inc	Ford Motor Co	Bank Of Japan	Richter Gedeon
μ	0.20	0.24	0.13	-0.06	-0.03
σ	0.40	0.27	0.32	0.36	0.31

Question B

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

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%

     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)Question set代写

	Start date	End date	Type	currency	Bond Price (PV)
a	2013-8-6	2014-8-6	US Treasury Bill	USD	99.9299
b	2013-6-6	2023-6-6	Hungarian Fixed Coupon Bond	HUF	103.3724
c	2013-12-6	2018-12-6	Hungarian Fixed Coupon Bond	USD	120.2607
d	2013-12-6	2018-12-6	Polish Floating Coupon Bond	PLN	100.0000
e	2013-12-6	2043-12-6	EUR Government Bond	EUR	52.2507

 

 

 

 

 

 

 

 

 

 

 

 

 

The expected return and volatility are listed below,

	current time: 2013-12-6
	Type	expected return	volatility
a	US Treasury Bill	0.0022	0.0170
b	Hungarian Fixed Coupon Bond	0.0746	0.1545
c	Hungarian Fixed Coupon Bond	0.0136	0.0960
d	Polish Floating Coupon Bond	0.0464	0.1268
e	EUR Government Bond	0.0298	0.0955

Question C

      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.

      b. Maximize expected return

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

      c. minimize 1-year-VaR(99%)

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

Type	VaR(99%)
B-a	3.67
B-b	25.62
B-c	22.76
B-d	22.01
B-e	9.15
Volkswagen	132.82
Apple Computer Inc	26.07
Ford Motor Co	7.74
Bank Of Japan	298.40
Richter Gedeon	11.02

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

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%;

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.Question set代写

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