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kryzak
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I'm gonna get my arse kicked.... 23 Jul 2007, 12:03
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Those type of stats were pretty much my field in engineering. I took similar classes (each time more advanced) throughout college and grad, and I HATED them more and more each time I took them. Maybe I should have done business then :P
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kidderek
W T F.

I'm a 50Q and I'm scared.
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You're a poet... and you just don't know it. :-D

Actually poetry is not exactly easy. I took analysis of verse form and verse writing in college and the homework was as involved and tedious as advanced expository prose or research methodology seminar... oh boy, I'm in for lot of late nights aren't I?
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I'm gonna get my arse kicked.... 23 Jul 2007, 23:51
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I'm f#@ked!!

:hair
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bsd_lover
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I'm gonna get my arse kicked.... 24 Jul 2007, 02:42
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Isn't this the black scholes model ?

rhyme
sm176811
Yeah this is quite straighforward (I have taken stats b4). However, I am concerned abt Finance. Wonder what awaits me in topics that I am not familar with!

This awaits you.

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I'm gonna get my arse kicked.... 24 Jul 2007, 03:19
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bsd_lover
Isn't this the black scholes model ?

rhyme
sm176811
Yeah this is quite straighforward (I have taken stats b4). However, I am concerned abt Finance. Wonder what awaits me in topics that I am not familar with!

This awaits you.

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Bsd_Lover, I think it is stated in the pic.... the last sentence presenting the grill ;) :)
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I might as well not bother writing any essays. Not gonna get very far with my keen observational skills :oops:
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Fig
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I'm gonna get my arse kicked.... 24 Jul 2007, 06:37
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bsd_lover
I might as well not bother writing any essays. Not gonna get very far with my keen observational skills :oops:
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Note that I'm the first one to not see all things ;)... So I should not be the first one to say u it ;)
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09App
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rhyme
https://faculty.chicagogsb.edu/alan.bester/teaching/notes/index.html

Theres no password required, so I imagine its public.
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Great link, thanks. I just learned about regressions, so if I can make it through the material on that site then I'll take that course.

I think Pelihu is onto something though.
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rhyme
https://faculty.chicagogsb.edu/alan.bester/teaching/notes/index.html

Theres no password required, so I imagine its public.

Great link, thanks. I just learned about regressions, so if I can make it through the material on that site then I'll take that course.

I think Pelihu is onto something though.
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Well, here's your test... You'll need your GSB login to get to it.

https://www.chicagogsb.edu/fulltime/admi ... tsexam.pdf

If you can solve these problems, you can take regressions. Otherwise, they say to take stats. Odds are, you won't pass it unless you really remember your notation.

stuff like

Suppose returns Ri on an asset are iid N(.2,.01), where i indexes successive periods

(a) What is the standard deviation of each return?
(b) What is the probability that the return in a particular period is negative?
(c) Let N be the number of negative returns in 10 consecutive periods.
What is the distribution of N?
(d) What is the expected value of N?
(e) What is the variance of the average return over 10 time periods.

If you dont remember what N(.2,.01) means, you can't solve any of it.
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kryzak
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I'm gonna get my arse kicked.... 24 Jul 2007, 13:01
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Wow, i think I can *kind of* solve it, but it's tough if you don't remember all the equations and stuff.
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rhyme
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I'm gonna get my arse kicked.... 24 Jul 2007, 13:24
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I'll take a stab at it...


Suppose returns Ri on an asset are iid N(.2,.01), where i indexes successive periods

(a) What is the standard deviation of each return?

N(.2,.01) says mean = .2 and variance is .01, thus std dev is sqrt(variance), or .1

(b) What is the probability that the return in a particular period is negative?
Negative is 2 std devs from mean, and 1.96 standard devs from the mean would be 5%, on either side, so the odds are something less than 2.5% ...
I'm not sure how you could calculate this exactly... But I imagine they'd accept < 2.5% as an answer.

(c) Let N be the number of negative returns in 10 consecutive periods.
What is the distribution of N?
Not sure.

(d) What is the expected value of N?
Easy if I knew the answer to C.....

(e) What is the variance of the average return over 10 time periods.
This should be .01/10 ... just the average of the given variance when you have iid variables
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Someone wanna help me with (C) below? I know theres a formula for it but I don't "understand"... the logical way of solving it.

Code:
Suppose we’re looking at a given company.  For simplicity assume this company is
either having a “good year” or a “bad year”.  We also observe whether the company
meets or misses its “earnings target” this quarter (that is, whether or not the company’s
earnings per share is above or below analysts’ consensus forecast).

Let G=1 if the company is having a GOOD year, and 0 otherwise
Let E=1 if the company makes its EARNINGS target, 0 if it misses.

Now suppose we’ve done some research on this company.  Based on past history, this
company has good years about 50% of the time.  We also know based on past experience
that in a good year, the company will make its earnings target 80% of the time, while in a
bad year they make their earnings target only 40% of the time.
That is, p(G=1) = .5
p(E=1|G=1) = .8
p(E=1|G=0) = .4


(a)

Draw the diagram depicting the marginal of G and then the
conditional of E|G.
(you know, the one that branches as you go from left to right).


(b)

Give the joint distribution of the G and E in the “two way table” format
(like slides 53-54 in the notes).


(c)

In reality, as investors we don’t know at the time whether the company is having a good
or bad year (the managers would always claim it’s a good year if we asked them!).  But
we DO observe whether or not the company makes or misses its earnings target.
If the company DOES make its earnings target, what is the probability they are actually
having a good year?  That is, what is P(G=1|E=1) ?



My answers for a and b are:




but how do you do C? Logically, how do you solve it? I know someone here will be able to explain it.
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rhyme
but how do you do C? Logically, how do you solve it? I know someone here will be able to explain it.
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What are all of the possible outcomes when E=1?
Just two: (G=1 and E=1) and (G=0 and E=1)

P(G=1 and E=1) = .4
P(G=0 and E=1) = .2

P(G=1 given E=1) = .4/(.4 + .2) = 2/3
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I'm gonna get my arse kicked.... 24 Jul 2007, 14:33
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milkrate
rhyme
but how do you do C? Logically, how do you solve it? I know someone here will be able to explain it.

What are all of the possible outcomes when E=1?
Just two: (G=1 and E=1) and (G=0 and E=1)

P(G=1 and E=1) = .4
P(G=0 and E=1) = .2

P(G=1 given E=1) = .4/(.4 + .2) = 2/3
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Wow I feel stupid. Thats so obvious. Not sure how I didn't see that.
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rustmonster
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I'm gonna get my arse kicked.... 24 Jul 2007, 15:17
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Math aside, that is a god-awful Powerpoint presentation. It looks like he just cut and paste his notes.
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rhyme
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rustmonster
Math aside, that is a god-awful Powerpoint presentation. It looks like he just cut and paste his notes.
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LOL... it was bad wasn't it?
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I'm gonna get my arse kicked.... 25 Jul 2007, 10:46
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bsd_lover
Isn't this the black scholes model ?

rhyme
sm176811
Yeah this is quite straighforward (I have taken stats b4). However, I am concerned abt Finance. Wonder what awaits me in topics that I am not familar with!

This awaits you.

Show more





more on Black-Scholes: https://bradley.bradley.edu/~arr/bsm/model.html
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