Search results

Thanks for your fast reply (on a Saturday none the less). I always understood beta as the correlation between the portfolio and the market, thanks for clearing that up for me.

Hello, I don't understand the solution to the below practice question from the Amenc chapter 4 notes: 4. Assume the riskfree rate is 4%, the overall market volatility is 20% and the volatility of our portfolio (P) is 25%. If the price of risk is 6% and the quantity of risk is 0.8, what is the...

Thanks David, I understand it when you put it that way.

Thanks for your detailed reply. I'm not clear on how the CAPM relates to the markets clearing at a given price when the CAPM tells us expected return of an asset.

Hello, The notes on the various non standard forms of the CAPM make reference to an equilibrium, can you elaborate ? Thanks

Hello, Any update on this ? Thanks

Hello David and Suzanne, With notes still being published, what is the best way to study ? Should I keep going through the study planner and loop back every so often to see if a set of notes was added to a section I already finished with ? Edit: I should add, I can appreciate the challenge you...

Hi David, Thanks for all your help leading up to the exam. I came across this scenario and was not sure how to solve it: What is the 99% 1 day VaR for the portfolio: long 200,000 USD 1 day volatility 15% short 200,000 USD 1 day volatility 25% Being long and short the same notional thew me...

Hello, If a question doesn't state which currency is domestic, is it safe to assume USD is domestic or should we assume the rate on the left of the quote is domestic ?

Ah now it makes sense. (I also like the use of == and !=, a fellow code monkey I take it ?)

I am probably missing something obvious here, but I can't see it. My notes say t statistic is calculated as (xbar - mu)/[s/sqrt(n)] .. but when doing hypothesis tests for linear regression for the significance of an intercept I've seen it calculated as intercept/standard error. This may be a...

Thanks.

So we use percentage delta when calculating var using delta normal VaR and position delta when hedging ?

Hi David, I have a follow up question. In you answer you said delta for the linear portfolio is actually 1, but when creating a delta neutral portfolio we would for example short 20 stocks to bring delta down by 20 ?

Thanks for clearing that up. The notes I have from university gave a different approach which is the method I stated above.

That helps a lot thanks

Hello, I came across a practice question (not from BT) for which I can't make sense of the answer and am hoping somebody can shed some light on: Question: A portfolio has a current market value equal to $5,334,500 with a daily variance of .0002. Over the years the portfolio has increased its...

Can you shed some light on when it is correct to use continuous compounding for bonds ? I was under the impression that you use continuous compounding if you are given a series of spot rates for different maturities ... is this correct ? As always, thank you very much in advance for all the...

Thanks for the replies !

I was asking about a shortcut as this can be rather time consuming on the test.