Caso Practico N. 2 HEDGE FUN GURU SUFFERS WIPEOUT 1.a. Grafique el payoff de la estrategia que empleo Niederhoffer. 1.b. Por qué Niederhoffer ejecutó la estrategia descrita; eso es, como él esperaba hacer dinero dado su punto de vista sobre el índice S&P? Porque especuló que los gestores de los fondos debieron de vender bastantes put/call y tomar en demasía la opción Premium así como generar un retorno mayor a lo tomado inicialmente por los especuladores
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PORTFOLIO WITH CORRELATION COEFFICIENT (-1) | DESCRIPTION | | INVESTED WEIGHT | MEAN | VARIANCE | STANDARD DEVIATION | Coefficient (-1) | | Wa | Wb | | | Wa | Wb | Mean return (%) | | 10 | 18 | | | | | Variance (%) | | 15 | 5 | | | | | Standard deviation (%) | | | | | | 3.87 | 2.24 | Composition | 1 | 1.00 | 0.00 | 10 | 15.00 | 3.87 | 2.24 | | 2 | 0.75 | 0.25 | 12 | 5.50 | 3.87 | 2.24 | | 3 | 0.50 | 0.50 | 14 | 0.67 | 3.87 | 2.24 | | 4 | 0.25 | 0.75 | 16
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of the portfolio is then effectively increased and therefore a decrease in returns. Investors often use credit ratings provided by rating agencies, which have been highly criticized ever since the 2008 US Financial crisis (Ryan,2012:3), such as Standard & Poor’s, Moody and Fitch in order to measure credit risks of viable bonds. These ratings mostly apply to corporate bonds as the demand for sovereign bonds are not as prevalent which is also contributed to the fact that sovereign bonds are not easy
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10/24/2011 Introduction The Sample Mean The Central Limit Theorem The Sample Variance Sampling Distribution from The Normal Distribution Sampling from A Finite Population ◦ Distribution of The Sample Mean ◦ Joint Distribution of X and S2 ◦ Approximate Distribution of The Sample Mean ◦ How Large A Sample Is Needed 2 1 10/24/2011 Recall definitions of: ◦ ◦ ◦ ◦ ◦ ◦ ◦ Population Sample Inferential statistics Sampling Random sampling Parameter Statistic 3 If X1, . . . , Xn
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1.10 Sampling Distributions The main objective of most statistical inference is to draw conclusion about the population parameters based on samples studies that is quite small in comparison to the size of the population. In order that conclusion of sampling theory and statistical inference valid, samples must be chosen so as to the representation of a population. For example, Television executives want to know the proportion of television viewers who watch that network’s program. Particularly
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the Large Hadron Collider (LHC) are more than 99 percent certain they've discovered the Higgs boson, aka the God particle—or at the least a brand-new particle exactly where they expected the Higgs to be. The long-sought particle may complete the standard model of physics by explaining why objects in our universe have mass—and in so doing, why galaxies, planets, and even humans have any right to exist. "We have a discovery," Heuer said at the seminar. "We have observed a new particle consistent
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* Scetch sampling distribution is mean and standard deviation and shape. [-μ] or │- p│.= sampling error In order to solve a question you should know 3 things; mean of ; E() which is μ, the standard deviation of , called σ and of course the ‘shape’ is it a normal distribution? T distribution df(degrees of freedom)=n -1 A. Central Limit Theorem: in selecting simple random samples of size ‘n’ from a population with mean and standard deviation , the sampling distribution of the sample
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(average) Variance 2 probability density function 1 x 2 1 exp f x 2 2 cumulative density function 1 t 2 1 F x dt exp 2 2 Standard Normal Density X ~ N 0,1 probability density function n x cumulative density function x N x 1 1 exp x 2 2 2 x important result: standardization 1 exp t 2 dt 2 2 1
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90 | 23,20 | 13,70 | 8,30 | 14,10 | Interquartile range | 0,23 | 0,15 | 0,38 | 7,50 | 6,05 | 7,25 | 1,98 | 2,28 | 2,05 | 1,28 | 1,28 | 1,30 | Variance | 0,06 | 0,02 | 0,07 | 32,96 | 47,78 | 37,10 | 6,86 | 5,15 | 6,33 | 2,45 | 1,64 | 2,21 | Standard deviation | 0,24 | 0,14 | 0,26 | 5,74 | 6,91 | 6,09 | 2,62 | 2,27 | 2,52 | 1,57 | 1,28 | 1,49 | Coef of Variation | 39% | 15% | 36% | 79% | 100% | 85% | 57% | 47%
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Gap Analysis: Global Communications Gap Analysis: Global Communications Global Communications is currently among one of the telecommunication industry’s companies that is waning. Its stock has lost more than 50 % in value and Global Communications will face so challenges in making it appreciate again. Global Communications is also facing an increasing number of competitors. Global Communications has to look at all the current issues to try and find opportunities that may lie among them
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