**TI82** TxtView file generated by CalcText - Kouri5 & marches& $ ÿmarchés financiersLibor rate : LIBOR is a benchmark interest rate at which major global banks lend to one another in the international interbank market for short-term loans. LIBOR, which stands for London Interbank Offered Rate, serves as a globally accepted key benchmark interest rate that indicates borrowing costs between banks. The rate is calculated and published each day by the Intercontinental Exchange (ICE). A broker is a person who executes the trade on behalf of others, whereas a dealer is a person who trades business on their own behalf. A dealer is a person who will buy and sell securities on their account. On the other hand, a broker is one who will buy and sell securities for their clients. Bank discount rate = Notional - Price / notional * 360/N(days of maturity Bond equivalent yield = Notional -Price /Price *365/n (days of maturity) Profit or loss at maturity = Max (10-5 , 0) -1 = 4 (profit) Max (10-10 , 0) -1 = -1 (loss) Max (10-15 , 0) -1 = -1 (loss) Cumulated return over the full year = 1*premier quarter (1,03) * (si négatif prendre la différence du négatif) *1,2*1,07 = 1,1902 = 19,02 Daily mean return of orange = 30 (following sum en mathématique) / last daily returns Daily standard deviaton = O^2 = Quantity given (dans formule mathématique deuxième question) / last daily returns -1 donc 0= racine V(de ce qui est calculé au dessus) Expected return stock : Rf (risk free rate) + Btsar (beta) *(Erm (expected return over one year period) - Rf (rsk free rate)) Abnormal return (anormal) = E(Rtsar = return on this stock dans la question O,12) - Rf (risk free rate) = alphaTsar + Btsar (E(Rm=expected return over one year period) - Rf ) On isole le alpha tsar pour l'obtenir ce qui donnera le abnormal CAPM model : Market level of risk aversion E(Rm) - Rf = A *Om^2 (volatility) au dessus c'est le risk premium donné dans l'énoncé (Erm - Rf) Exercice à 10 points = E (X) = proba * X + proba * X + ... Sigma de X au carré = proba * (X - E(X)^2) + proba *(X-E(X)^2) ... + Sigma de X = racine V(du résultat trouvé au dessus) après pareil pour E(Y) Ensuite : Cov (X,Y) = E(X,Y) - E(X)*E(Y) Pour cela on a déjà E(X) et E(Y) au dessus Mais calculons E(X,Y) = proba * X * Y + proba *X*Y...+ Donc expected return of the portfolio = invested 40% in stock X *taux en pourcentage E(X) + 0,6 * taux en pourcentage pour stock Y Volatility of the portfolio = (investi à 40% * sigme de X )^2 + (investi à 60 % * sigma de Y )^2 + 2 * 0,4 * 0,6 * cov (X,Y) Volatility = V(de la volatility du portfolio du dessus) = Composition of the MVP : Wx = sigme Y^2 - cov(X,Y) / sigmaX^2 + sigmaY^2 - 2cov(X,Y) Donc : Wy= 1 - le résultat d'au dessus Volatlity of MVP : Variance(MVP * sigma X)^2 + (MVP * sigma Y)^2 + 2 * mvp X * mvp Y * cov (X,Y) ÿò™