The most recent estimate of the daily volatility of an asset is 1.75% and the price of the asset at the close of trading yesterday was $50.00. The parameter (1-x ) in the Exponentially Weighted Moving Average (EWMA) model is 0.20. Suppose that the price of the asset at the close of trading today is $55.00. Calculate how this will cause the volatility to be updated by the EWMA model.

The following numbers were randomly generated from a standard normal distribution: -0.25    0.3     1.5     -1.2     -1.65     1.5 Suppose a security follows a geometric Brownian motion with volatility parameter, sigma=0.2, and interest rate r=0.01.  If the initial closing price is S0=s=50, compute six more simulated daily closing prices.   For the daily increment in time we are using 1/252 year.

Which of the following investments will experience the largest change in its market value as a result of changes in the level of interest rates (we are talking about the absolute value of the change, up or down)? Suppose interest rates go up or down by 50 basis points (0.5%). Rank the investments from 1 to 4 where a 1 is the most affected (largest absolute change in value) while a 4 is the least affected (smallest absolute change in value). A: $1 million invested in 3-month Treasury bills. 请选择~ B: $1 million invested in STRIPS (zero coupons) maturing in three years. |请选择 C: $1 million invested in a Treasury note maturing in three years. The note pays a 5% annual coupon. |请选择︾ D: $1 million invested in a Treasury note maturing in three years. The note pays a 10.0% annual coupon. |请选择

An analyst has modeled the stock of Crisp Trucking using a two-factor APT model. The risk-free rate is 5%, the expected return on the first factor (r₁) is 14%, and the expected return on the second factor (r2) is 8%. If bil 0.5 and bi2 = 0.8, what is Crisp's required return? Do not round intermediate calculations. Round your answer to one decimal place. % =