The prices of a stock are given in the table on the right.
2024-07-04 20:13:03
Quantitative Methods for Finance
Practice Questions for Lecture 4
1. The prices of a stock are given in the table on the right.
(a) What is R2 ?
What is R(3) ?
(c) What is r3 ?
2. The prices of a stock are given in the table on the right. Calculate
(a) R2, R3, and R4.
(b) 𝑅(2), 𝑅(3), and 𝑅(3)
(c) r3 and r5
(d) 𝑟(2), 𝑟(3), and 𝑟(3)
3.The prices of a stock in months 1-5 are given below. Please compute the corresponding single-period, multi- period net, gross and logarithmic returns and fill in the blanks in the table.
|
t
|
Pt
|
Rt
|
1+Rt
|
1 + 𝑅3
𝑡
|
rt
|
r(3)
|
|
1
|
200
|
×
|
×
|
×
|
×
|
×
|
|
2
|
192
|
|
|
×
|
|
×
|
|
3
|
198
|
|
|
×
|
|
×
|
|
4
|
206
|
|
|
|
|
|
|
5
|
210
|
|
|
|
|
|
4. True or False questions
(1) The k-period log return is the product of k terms of single-period log returns.
(2) Log returns are also called continuously-compounded returns.
(3) Random walks imply that stock prices are predictable.
(4) The continuous-time version of a random walk is a Brownian motion.
1(a) 9.80%
1(b) 13.73%
1(c) -5.51%
2(a) 2.78%, -4.17%, -2.78%
2(b) -4.17%, -2.78%, -4.05%
2(c) -7.00%, 1.42%
2(d) -4.26%, -2.82%, -1.40%
3. Do it by yourself 4. (2)
100% Plagiarism Free & Custom Written, Tailored to your instructions
