Let X be a random variable distributed normally with mean 0 and standard deviation 1. What is the expected value of exp(X)?
Suppose 60% of capital is invested in asset 1, with volatility 40% and the rest is invested in asset 2, with volatility 30%. If the two asset returns have a correlation of 0.5, what is the volatility of the portfolio?
Let E(X ) = 1, E(Y ) = 3, Corr(X, Y ) = 0.2, E(X2 ) = 10 and E(Y2 ) = 13. Find the covariance between X and Y
The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?
What is the total derivative of the function f(x,y) = ln(x+y), where ln() denotes the natural logarithmic function?
Suppose I trade an option and I wish to hedge that option for delta and vega. Another option is available to trade. To complete the hedge I would
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