The quarterly compounded rate of return is 6% per annum. What is the corresponding effective annual return?

You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:

Which of the following hypotheses can be accepted based on these regressions at the 5% confidence level (corresponding to a critical value of the Dickey Fuller test statistic of – 2.89)?

Variance reduction is:

The Lagrangian of a constrained optimisation problem is given by L(x,y,λ) = 16x+8x2+4y-λ(4x+y-20), where λ is the Lagrange multiplier. What is the solution for x and y?

Consider a binomial lattice where a security price S moves up by a factor u with probability p, or down by a factor d with probability 1 - p. If we set d > 1/u then which of the following will be TRUE?

The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is: