8006 무료 덤프문제 온라인 액세스

Which of the following statements are true?
I. The square-root-of-time rule for scaling volatility over time assumes returns on different days are independent II. If daily returns are positively correlated, realized volatility will be less than that calculated using the square-root-of time rule III. If daily returns are negatively correlated, realized volatility will be less than that calculated using the square-root-of-time rule IV. If stock prices are said to follow a random walk, it means daily returns are independent of each other and have an expected value of zero

• A.I, II and IV
• B.III and IV
• C.All the statements are correct
• D.I and III

Backwardation can be explained by:

• A.short term shortages in the spot markets
• B.convenience yields being greater than the total carrying cost
• C.expectations of oversupply in the future
• D.all of the above

The most risky tranche of a structured credit derivative is called:

• A.the risky tranche
• B.the mezzanine tranche
• C.the senior tranche
• D.the equity tranche

The theta of a delta neutral options position is large and positive. What can we say about the gamma of the position?

• A.The gamma must be large and positive
• B.The gamma must be small and negative
• C.The gamma must be large and negative
• D.The gamma must be small and positive

A and B are two stocks with normally distributed returns. The returns for stock A have a mean of 5% and a standard deviation of 20%. Stock B has a mean of 3% and standard deviation of 5%. Their correlation is -0.6.
What is the mean and volatility of a portfolio which holds stocks A and B in the ratio 6:4?

• A.4.2% and 1.19%
• B.4% and 10.92%
• C.4.2% and 14%
• D.4.2% and 10.92%