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Homework 1 due on 10/6
1. Based on the following prices:
May 2006
Jun 2006
July 2006
Aug 2006
Sept 2006
Intel
17.92
18.89
17.9
19.57
20.57
Washington Post
808.82
778.01
771
767.77
737
a) Calculate the holding period return for Intel and Washington Post from May 2006 to
Sept 2006
b) Calculate the arithmetic mean and geometric mean for Intel and Washington Post
c) Calculate the standard deviation of return for Intel and Washington Post
d) Calculate the Sharpe Ratio for Intel and Washington Post over the period
2. Download the HP monthly stock data from
http://finance.yahoo.com/q/hp?s=HPQ&a=00&b=2&c=1990&d=09&e=1&f=2006&g=m
a) Calculate the monthly VAR at 95% confidence level with the Delta-Normal method
b) Calculate the monthly VAR at 95% confidence level with the historical simulation
method
c) What’s the annual VAR at 95% confidence level?
4. For a par bond with 6% coupon rate, matures in 5 years
a) What’s the bond price after one year when the YTM goes to 7%
b) What’s the realized yield to maturity over the one-year period?