Who described criteria which make a risk measure coherent
Who described the criteria which make a risk measure coherent?
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Artzner et al. (1997) specify criteria which make a risk measure coherent. And Value at Risk is not coherent.
What will be the effect on riskiness of a portfolio if assets with negative correlations (even very low correlations) are taken together?
Illustrates an example of Utility Function?
Illustrates an example of probabilities in a simple coin-tossing experiment.
Given: price of Nokia shares on the Helsinki stock exchange=12 euros, exchange rate=$1.3/euro, price of the ADR on the NYSE=$15 and each foreign share translates into 1 ADR. Show the actions you would take to make risk free arbitrage profits.
Elaborate: Accounts receivable are sometimes not collected. What is the reason that companies extend trade credit when they could insist on cash for all sales?
When is an exploitable opportunity usually seen for excess returns?
How is the option hedged?
A stock whose value is now $44.75 is growing on average by 15 percent per annum. Its volatility is 22 percent. The interest rate is 4 percent. You need to value a call option along with a strike of $45, expiring in two months’ time. So, what can you do?
Explain Central Limit Theorem with an example of random variables.
foreign countries to finance its current account deficits
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