Question
Consider a portfolio that includes the following two companies: Company 1 Company 2 Day Price Number of Shares Price Number of Shares 1 $5.00 750
Consider a portfolio that includes the following two companies:
| Company 1 | Company 2 |
| |||
| Day | Price | Number of Shares | Price | Number of Shares | |
| 1 | $5.00 | 750 | $11.00 | 1,450 | |
| 2 | $6.98 | 750 | $12.82 | 1,450 | |
On Day 1 the portfolio has weights which are equal to the value of each company's shares relative to the total value of both companies. What is the portfolio weight for Company 1?
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
