题目5296 · 金融与交易
Idiosyncratic Variance From Total and Market Pieces 5
A stock follows a one-factor model with beta 1.5. Market variance is 0.04 and the stock's total variance is 0.16. What idiosyncratic variance is implied?
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中文题目题目5293 · 金融与交易
Alpha Relative to a Benchmark Move 3
A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?
打开 →题目5999 · 概率
Forward Wait from a Spontaneous Glance
Buses arrive at a stop as a Poisson process with rate 10 per hour. You walk up at an arbitrary moment, unsynchronized with the buses. What is the expected time, in minutes, until the next bus arrives?
打开 →题目1614 · 数学
One-Factor Covariance Entry 1
Under a one-factor model X = bF + epsilon with factor variance 3, asset loadings (1, 2), and idiosyncratic variances (4, 9), what are Var(X_1), Var(X_2), and Cov(X_1, X_2)?
打开 →题目1615 · 数学
Signed-Factor Covariance Entry 2
Under a one-factor model X = bF + epsilon with factor variance 5, asset loadings (2, -1), and idiosyncratic variances (1, 4), what are Var(X_1), Var(X_2), and Cov(X_1, X_2)?
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