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Tagged with self-study risk
3 questions
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Show that portfolio's percentage contribution to loss (PCL) equals PCR (risk)
I came across this question during self study on a quantitative book (Question 3.6 on Page 75 of Quantitative Equity Portfolio Management: Modern Techniques and Applications By Edward E. Qian, Ronald ...
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1
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Option analysis
Assume zero dividend and that the strike price for a European call option on a stock at a fixed maturity T and strike price K is given by C(K).Suppose that $C(K)=e^{-k}$ for all $K\geq 0$ ,then, I ...
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No arbitrage opportunities and interest rate
Consider a financial market with one single period, with interest
rate r and one stock S. Suppose that $S_0 =1$ and, for n=1, $S_1$ can take
two different values: 2, 1/2.
For which values of r the ...