Download the daily price of International Business Machines Corporation (IBM) and S&P 500 (GSPC) from 01/01/2017...
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Download the daily price of International Business Machines Corporation (IBM) and S&P 500 (GSPC) from 01/01/2017 to 01/01/2023 and compute the daily returns. Use the returns of IBM as asset returns r and the returns of S&P 500 as the returns M of the master fund. Compute standard of IBM. = Cov(r,TM) Var(TM) Set a = 0.9, a2 = 0.5, A = 0.5, A = 0.5. We have Bm = - | E[Er |m VaR()] + AE[Er |m VaR ("M)] ACVAR (M)+2CVaR(TM) Compute mixed CVaR of IBM. COROLLARY 2.6 If: where = uous, then: Bj (....,) and a = D = CVARA (1,..., L), and the distribution of rm is contin- - E [Er; r | m VaR ()] + ... 1 L - +E[Er; r | m VaRz (M)] (2.6) CVAR (M) + ... +L CVaRL (M) Download the daily price of International Business Machines Corporation (IBM) and S&P 500 (GSPC) from 01/01/2017 to 01/01/2023 and compute the daily returns. Use the returns of IBM as asset returns r and the returns of S&P 500 as the returns M of the master fund. Compute standard of IBM. = Cov(r,TM) Var(TM) Set a = 0.9, a2 = 0.5, A = 0.5, A = 0.5. We have Bm = - | E[Er |m VaR()] + AE[Er |m VaR ("M)] ACVAR (M)+2CVaR(TM) Compute mixed CVaR of IBM. COROLLARY 2.6 If: where = uous, then: Bj (....,) and a = D = CVARA (1,..., L), and the distribution of rm is contin- - E [Er; r | m VaR ()] + ... 1 L - +E[Er; r | m VaRz (M)] (2.6) CVAR (M) + ... +L CVaRL (M)
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