Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
16 shown
M02 Statistics of returns 16
- P1 Return arithmetic on election week ★ Check
- P2 The portfolio log-return gap ★★ Check
- P3 Leveraged index funds and the drag ★★ Check
- P4 Mean versus median ★ Check
- P5 AM–GM on a fund's track record ★★ Check
- P6 (Variance ratio of an MA(1)) ★★★ Check
- P7 How precisely can you estimate volatility? ★★ Check
- P8 Judging a track record ★★ Check
- P9 Hermite polynomials and Jarque–Bera ★★ Check
- P10 The Hill estimator by hand ★★★ Check
- P11 Regimes make fat tails ★★ Check
- P12 VaR for a ₹1 crore Nifty portfolio ★★ Check
- P13 Is correlation really rising? ★★ Check
- P14 Case analysis: pricing 4 June 2024 ★★★ Check
- P15 Black Monday under fatter models ★★ Check
- P16 Variance ratio from autocorrelations ★★ Check