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SolutionstoProject9Copy
Solutions to Project 9 Copy 2
1.
a.
Now
b.
Observe that .4 + .24 + .144 + .216 = 1, i.e. the sum of the weights is 1.
2.
T, 1/2
T, 1/2
x012P(x=).25.75Let x = Betty’s winnings.
E (x) = 0 (.25) +12 (.75) = 9
The split should be: Betty gets $9, Bob gets $3.
3.
X4045505560P(X= ).1.2.3.2.2 a.
Skew
X is skewed left.
Kurtosis
X is less peaked than a Normal Distribution.
b. (note that the cash flow is an outflow of 50)
X4045505560P(X= ).1.2.3.2.25000000005W4545505555Y-5-5055
This is the graph of Y vs X at expiration. The break-even is X = 50.
c. (note that the cash flow is an outflow of 50)
X4045505560P(X= ).1.2.3.2.200051000005W4045506060Y-10-501010
.
This is the graph of Y vs X at expiration. The break-even is 50.
d. Betty: ; per share.
Bob: ; per share.
Betty’s position has a price of $50 and a value of $49.5 which suggests that it is expensive. Bob’s position has a price of $50 and a value of $50.97 per share which suggests that it is cheap. From this it appears that Bob’s position is better.
e. Betty:
Bob: .
Bob’s position app
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