Agreed. In my excitement to solve the problem quickly I didn’t realize that I should have looked at minimizing the function w1^2*0.04+(1-w1)^2*0.16-2*w1*(1-w1)*0.08
Differentiating by w1 and setting to 0 gives
0.08*w1+0.32*(1-w1)*(-1)-0.16*(1-2*w1) = 0
i.e., (0.08+0.32+0.32)*w1 = 0.48
So, w1 =...
If you remove the restriction of the weighting then the portfolio volatility ranges between 10% and 40%. The volatility is lowest when rho =-1 and w1*(1-w1) is maximized. Using derivatives you can show the maximium occurs when w1 = 0.5.
So the lowest volatility is 10% and it occurs when...
Not sure if this is already covered in the notes but a portfolio with 50% investment in 2 stocks simplifies the calculation for the range of volatility of the portfolio.
Portfolio volatility = SQRT (w1^2*sigma1^2 + w2^2*sigma2^2+ 2*rho*w1*w2*sigma1*sigma2)
if w1 = w2 = 0.5,
Portfolio volatility...
Portfolio volatility = SQRT (w1^2*sigma1^2 + w2^2*sigma2^2+ 2*rho*w1*w2*sigma1*sigma2)
w1 =w2 = 0.5
sigma1 = 0.2
sigma2 = 0.4
rho can be anywhere between -1 and +1. So, calculate the portfolio volatility when rho = -1 and again when rho = +1. This will give you the two limits for the portfolio...
Now that you have confirmed that your work experience is verified I would like to reply to your message.
1. I’ve stated the approximate time of my submission more than once in this thread. If I had submitted my work experience before you then why shouldn’t my work experience get verified first...
I don't work in the risk department but I've been working for an FX, CFD brokerage firm in the projects/products team. I discussed how we identified some obvious risks in current processes and then incorporated risk mitigation techniques in our IT projects for internal users. Also, there was a...
Good luck!
I was alluding to the My Programs section in the GARP portal. Each time you log in and go to this page you are hoping there is an update about the work experience but there is no update. So your eyes start scanning the page aimlessly and you see this innocent link at the bottom of the...
The submission could have been done from NZ 5 hours after the results were released.
I submitted my work experience around 15 mins after the results were out and I haven’t heard anything from GARP yet.
Sorry to hear you didn’t pass. It’s a process to accept failure, analyze your weak points and then plan well to prepare for the exam again.
1. Your quartiles results would have given you an indication of which areas you are strong and which areas need more work relative to the test takers. Do...
One should have received an email two weeks before the exam from 'FRM Exam' with the subject line 'Last reminders for the November 16, 2019..'
The third last question and answer in the email reads
'When do I learn if I passed or not?
Exam results - pass or fail - will be sent via email no...
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