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Financial Econometrics. Answers to Question 1 and 2 please.Thanks in advance. Question 1(25 marks) Briefly, discuss the following five characteristics of financial assets returns (a)
Financial Econometrics. Answers to Question 1 and 2 please.Thanks in advance.
Question 1(25 marks) Briefly, discuss the following five characteristics of financial assets returns (a) Absence of autocorrelations (b) Heavy tails (c) Volatility clustering (d) Leverage effect (e) Gain/loss asymmetry 5 marks 5 marka 5 marko 5 marks 5 marks Question 2 (20marks) Consider a portfolio consisting of two assets with r, and r, as their respective returns. The portfolio returns are given by: where W +W2 1, are portfolio weights. Calculate: (a) the expected return on the portfolio H (b) the portfolio risk, de . (c) The optimal portfolio weights that minimizes riskStep by Step Solution
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