Tagged Questions
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1answer
17 views
Find the transaction cost-adjusted expected return of the stock
Let $W^b_i$ denote the weight of stock i in the existing portfolio and $W^a_i$ denote the weight of stock i in the new portfolio to be created. Let $c_i$ denote the transaction cost of stock $i$.
If ...
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Market Clearing Prices: find the set for the valuations
We express Gp=(X U Y, E) is the preffered graph where ij in E if j is preferred seller of X=buyers, Y=sellers
--> A vector of prices p is market clearing if Gp has a perfect matching( generally, ...
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170 views
Net Present Value Calculation for Construction Project with Initial Capital
I'm having real trouble working out how to do the following question because of the initial capital that the company has at the start of the project, meaning that they can delay taking out a loan ...
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1answer
52 views
Net Present Worth Calculation (Economic Equivalence)
I'm currently doing some work involving net present worth analyses, and I'm really struggling with calculations that involve interest and inflation, such as the question below. I feel that if anyone ...
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2answers
198 views
Portfolio Optimization Problem Without Correlation Info
I received this interesting problem from a friend today:
Assume that you are a portfolio manager with $10 million to allocate to hedge funds. The due diligence team has identified the following ...
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1answer
228 views
Statistics with overlapping periods
I've been having a lot of discussions about finance recently in which people will point to some results using overlapping time periods and claim a high degree of statistical significance. For ...
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1answer
298 views
A (mathematically) sound investment strategy
It is common wisdom in the investment community that a long-term investor saving for his future would do well to invest in high-risk/high-return assets when he is young, slowly switching his portfolio ...
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1answer
137 views
Optimizing Group Spending
I have always thought that groups of individuals that spend more money(as opposed to save) have more money in the long run. My reasoning is that if a particular group spends money, then each dollar ...
