Question
3. A dynamic asset allocation model is described as: Dollars Invested in Stock = 2.5 (Assets-Floor). Where assets are $700 and floor is desired to
3. A dynamic asset allocation model is described as:
Dollars Invested in Stock = 2.5 (Assets-Floor).
Where assets are $700 and floor is desired to be $550.
a) Calculate the initial asset allocation to stocks and bonds.
b) If stock falls by 15%, calculate the new asset allocation to stocks and bonds.
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
