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Thanks so much @QuantMan2318 - I see now the point I had missed .. In this case though, since the Yield change was +ve, the Convexity Factor acted in the opposite direction to the Duration Factor and so Lower Price Decline meant Higher Convexity. But just to solidify my understanding, if the...

On Practice Question Hull 4.33:- @David Harper CFA FRM If Price % Decline of Portfolio A is less that is Risk/Exposure of Portfolio A is less, then shouldn't Convexity of Portfolio A be less than of that Portfolio B ..? :(:(:confused: Thanks for all the help on this topic..

On Practice Question Hull 4.22 : @David Harper CFA FRM While Calculating the Bond Price Change Due to a .2% decrease in Yield, why are we not also factoring in the Convexity Adjustment..?:confused::(:(

@QuantMan2318 Thanks so much - I had messed up the expanded formula a bit and was getting to the same formula for the MA(1) ..but this helped me see where I went wrong !! Thanks so much !! :):)

In Reference to P1.T2.Diebold, Ch8: MA(q) Process-Conditional Mean :- The Conditional Mean for MA(1) is : ( Theta). E t-1 What is the Conditional Mean for MA(q) ..? Thanks much :)

@David Harper CFA FRM A follow Up question on this Topic for Clarification... Slide # 1: Slide #1, says Z1 & Z2 are the Independent Standard Normal Samples and we generate Correlated Samples e1 & e2 from the Independent samples Z1 & Z2 using the formula e2= rho* Z1 + Z2* SQRT(1-who^2) which is...

Got It ! @David Harper CFA FRM Thanks so much !!

@David Harper CFA FRM Thanks so much- am good with the Arbitrage Portfolio being .5...still a bit foggy though on why we chose the Weight of the Risky Portfolio to be 50% and not some other weight...60%, 70% ...etc...

@David Harper CFA FRM Perfectoo!!! Thank you so much !!

@David Harper CFA FRM Thanks so much for the clarification on this - very clear now :):):oops::rolleyes::rolleyes:.....One lingering question on this....did we choose the 50 %-50% weightage of the Security A & the Risk Free Asset for some specific reason..?

Need some help understanding the breakdown of the Arbitrage Portfolio....:(:(:( How is the Beta of the Portfolio .5 , the Return 7% and the Excess Rate 3%...? :(:(:(:confused::confused::confused::confused::confused::confused:

In reference to R10.P1.T1.BODIE_CH10_SINGLE_FACTOR_MODEL_vs_CAPM :- The CAPM Pricing Model is often referred to as the Single Factor Model. But the Single Factor Model is :- Ri = E(Ri) + Beta*F(Macro-Factor) + Non-Systemic-Firm-Specific-Risk Whereas, For the CAPM:- Ri = Rf (Risk-Free-Rate) +...

@David Harper CFA FRM Thanks so so much for clearing up the above- Totally Get it now !!THANK YOU !!!!!!!!!!!!!!!! :oops::oops::oops::oops::rolleyes::rolleyes::rolleyes::rolleyes::rolleyes:

Hi @David Harper CFA FRM - my apologies for nudging you over this again...I was revisiting this topic..and I seem to have some hiccups over the calculation below. Issue # 1 : 40% is the Avg Volatility for the Non-Sytemic-Firm-Specific-Risk. So as per the Screenshot 2 , we should divide the 40%^2...

@Thanks so much @David Harper CFA FRM - will circle back on this topic on a better day and time :):)

Thanks so much @David Harper CFA FRM for taking the time during this hour of crunch to patiently elaborate on my question and I do see now where I misinterpreted the statements- you cleared that up now. Very Thankful for that. Hate to bother you on this but do have a follow up question to...

In Reference to R15.P1.T2.DIEBOLD_CH8_Topic: AR(p) Properties-COVARIANT-STATIONARY :- Wanted to clarify if the AR(p) Property of Covariance Stationarity should include the conditions that the Mean and the variance be Stable/Constant ..? The Inverse of the Roots of the Lag Operator is a...

In Reference to R15.P1.T2.DIEBOLD_CH7_Topic: WOLD'S_REPRESENTATION & COVARIANT-STATIONARY :- In Diebold Ch-7: On Pg 20 we have a statement stating the following: The " Non-Stationary Components " such as "Trends & Seasonality" should be removed from a Time Series to ultimately form a...

Got it :) Thanks so much @David Harper CFA FRM :rolleyes::rolleyes::rolleyes::):):)

Hi, In reference to R15.P1.T2.DIEBOLD_CH7_PARTIAL_AUTO-CORRELATION :- I am having a bit of a confusion with the verbiage circled in Red below. What I have managed to understand on this topic is that :- the PACF ( Partial Auto Correlation) allows us to identify the "Order" of the...