C6 2001 solutions #5b

[Enough Exams Already]

I keep running into a problem with this one. I can see that the problem requires solving a 3x3 linear system, but I can't get the coefficients right. I keep getting a negative value for one of the weights. Can anyone help me? :emb: <:)

[Enough Exams Already]

The system I get is:

-.02x+.02y+.03z=.008
.08x+.07y+.18z=.093
.008x-.007y+.054z=-.0305

Does anyone else get that system?

[New at pd]

It's not a 3-variable system, as x + y + z =1, or z = 1 - x - y.

<font size=-1>[ This Message was edited by: New at c6 on 2002-02-28 13:04 ]</font>

[Enough Exams Already]

D'OH!!!

:wall:

[New at pd]

The system of equations is as follows

Equation 1, using currency selection
6=(x-30)*1.1+(y-10)*0.9+(z-60)*1.3

Equation 2, using country selection
-1.5=(x-30)*0.1+(y-10)*0.05+(z-60)*0.15

Equation 3, using stock selection
0.8=x*-0.02+y*0.02+z*0.03

[Enough Exams Already]

OK...that explains it. Thanks, New.

Anybody know the phone number to a good tractor-trailer school...I think I'm going to need it.

<font size=-1>[ This Message was edited by: Enough Exams Already on 2002-02-28 14:12 ]</font>

[New at pd]

Now, if I only knew the other 1,500 pages of material this well. d*mn.

<font size=-1>[ This Message was edited by: New at c6 on 2002-02-28 13:57 ]</font>

[john6]

the first equation on currency doesn't use
1+i i.e i=-10%, 1+i = .9
it uses i --> -10%

I am not getting the so called solutions that the society released. They give us nothing for question 5b.
My matrix solutions keeps on solving for y> 1

Does anyone out there know how the society came up with .4,.2,.4 ???????
For x,y,z

[New at pd]

On 2002-03-28 12:17, john6 wrote:
the first equation on currency doesn't use
1+i i.e i=-10%, 1+i = .9
it uses i --> -10%

I am not getting the so called solutions that the society released. They give us nothing for question 5b.
My matrix solutions keeps on solving for y> 1

Does anyone out there know how the society came up with .4,.2,.4 ???????
For x,y,z




Currency selection is defined as the sum of
(w_port - w_index)*E1/E0, where Ei is the exchange rate in $/Foreign unit.

So, if there is -10% appreciation, E1/E0 = .9

[Songbird]

[(10%)X+(-10%)Y+(30%)Z] - [(10%)0.3+(-10%)0.1+(30%)0.6] = -6.0%

[(10%)X+(5%)Y+(15%)Z] - [(10%)0.3+(5%)0.1+(15%)0.6] = -1.5%

(8%-10%)X + (7%-5%)Y + (18%-15%)Z = +0.8%

Solving gives you (X,Y,Z) = (0.4,0.2,0.4)

[New at pd]

As far as currency selection goes, it's just a matter of preference if you prefer to use just -.1 or .9. If you use .9, you are effectively adding a term of x + y + z - (.1 + .3 + .6) to the equation. Since, by constraints, x + y + z = 1, the net effect is 0.

[secada]

song bird please refer to the question no. 11 of study note 2001. Why is 0.505 is added to the stock prices and how it is calculated?

<font size=-1>[ This Message was edited by: secada on 2002-03-29 00:40 ]</font>

<font size=-1>[ This Message was edited by: secada on 2002-03-30 03:34 ]</font>

[actuary boy]

The .505 is the dividend paid in 60 days.

[secada]

I know this but how it has been calculated actuary boy? is it 25 * e^-(.12*60/360) = 24.505 or .12*60/360.

<font size=-1>[ This Message was edited by: secada on 2002-03-31 01:28 ]</font>

<font size=-1>[ This Message was edited by: secada on 2002-03-31 01:35 ]</font>