## Question A

equities代写 Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.

a. Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.

Sol: step 1, unify the data into US dollar unit;equities代写

step 2, plot the new price data on one chart., then we get the pic below.

Step 3, pay attention to Richter Gedeon on 2013-7-11, the price collapsed from 35800 to 3570. remove this unusual point at first. Then plot the log return series of five equities.

Findings:  1) Bank of Japan suffered a sharp fall in price since 2013-05.

2) Apple Computer Inc ‘s return series has the lowest volatility.

3) Richter Gedeon has occurred collapse in 2013-07.

b. Assuming that these prices follow log-normal distribution, define the parameters of the five distributions.

Sol: using log-return series, we calculate daily mean and standard deviation.

 daily return 0.0008 0.001 0.0005 -0.0003 -0.0001 daily volatility 0.0254 0.0173 0.0203 0.0227 0.0197

Then we get the parameter =252*daily return and *daily volatility ,

 Volkswagen Apple Computer Inc Ford Motor Co Bank Of Japan Richter Gedeon μ 0.20 0.24 0.13 -0.06 -0.03 σ 0.40 0.27 0.32 0.36 0.31

### Question B equities代写

Main idea: using linear interpolation to get the corresponding yearly rate.

For a. time to maturity: 8/12 Year

on 2013-12-6,  USDGovt; 12M  yearly rate = 0.1443%

USDGovt; 1M   yearly rate = 0.0371%

The corresponding yearly rate is 0.1053%.

For b, time to maturity: 9.5 Years

on 2013-12-6,  HUFGovt; 108M  yearly rate = 5.9005%

HUFGovt; 120M   yearly rate = 6.1466% equities代写

The corresponding yearly rate is 6.0235%.

For c, time to maturity: 5 years, yearly rate of USDGovt, 60M is 1.5122%.

For d, time to maturity: 5 years, yearly rate of PLNSwap,60M is 3.8476%.

For e, considering EUR Government Bond, with time to maturity 30 years.

yearly rate of EURGovt, 360M is 2.8173%.

Aggregate the data, and use Finance Calculator to calculate the current price of these five Bonds. (detail can be found in Sheet-QB)

 Start date End date Type currency Bond Price (PV) a 2013-8-6 2014-8-6 US Treasury Bill USD 99.9299 b 2013-6-6 2023-6-6 Hungarian Fixed Coupon Bond HUF 103.3724 c 2013-12-6 2018-12-6 Hungarian Fixed Coupon Bond USD 120.2607 d 2013-12-6 2018-12-6 Polish Floating Coupon Bond PLN 100.0000 e 2013-12-6 2043-12-6 EUR Government Bond EUR 52.2507

#### The expected return and volatility are listed below,equities代写

 current time: 2013-12-6 Type expected return volatility a US Treasury Bill 0.0022 0.0170 b Hungarian Fixed Coupon Bond 0.0746 0.1545 c Hungarian Fixed Coupon Bond 0.0136 0.0960 d Polish Floating Coupon Bond 0.0464 0.1268 e EUR Government Bond 0.0298 0.0955

### Question C equities代写

1. a. minimize risk

sol: we can find that five bonds have low volatility, if we want to minimize risk, we can only hold US Treasury Bill.

1. b. Maximize expected return

sol: Apple Computer Inc has the highest expected return, then we can only hold Apple Computer Inc.

1. c. minimize 1-year-VaR(99%)

sol: we calculate the Value at risk of ten securities, result listed below

 Type VaR(99%) B-a 3.67 B-b 25.62 B-c 22.76 B-d 22.01 B-e 9.15 Volkswagen 132.82 Apple Computer Inc 26.07 Ford Motor Co 7.74 Bank Of Japan 298.40 Richter Gedeon 11.02

We can hold US Treasury Bill and Ford Motor Co, these two securities have low VaR(99%).

### Question D

hold from 2013-12-6 to 2014-3-6.

Back test C-a, US Treasury Bill Price will = 100/(1+0.05388%)^0.25 = 99.9865

Return rate = 99.9865/99.9299-1=0.0567%;equities代写

Back test C-b, Apple Computer Inc’s return rate = 75.82/80-1=-0.0523;

Back test C-c, Ford Monto Co’s return rate = 15.67/16.7-1=-0.0617

When equal-weighted, the portfolio’s total return is 1/2*(0.0567%-0.0617)=-0.0306

We can find that bonds will outperform equities during the holding period.