11.2 Utility Functions
11.2 Utility Functions
11.2 Utility Functions
11.3 Risk Aversion
Link visited in class
Fit U(x)=x^b using a single certainty equivalent pair program, graph
Fit U(x)=a x^gamma + c to Sybil’s certainty equivalent pairs html, program, graph
1
11.4 Specification of Utility Functions
Link visited in class
Fit U(x)=x^b using a single certainty equivalent pair program, graph
Fit U(x)=a x^gamma + c to Sybil’s certainty equivalent pairs html, program, graph
1
11.5 Utility Functions and the Mean-Variance Criterion
Links visited in class
Feasible set for Markowitz problem sigma_rbar_three_asset_noshorting. mp4, html
1
11.6 Linear Pricing
12.2 Forward Contracts
12.3 Forward Prices
Delta t
r
0.25000
0.02000
time t
0.00000
0.25000
0.50000
0.75000
1.00000
d00
d01
d02
d03
d04
1.00000
0.99502
0.99007
0.98515
0.98025
c0
c1
c2
c3
-2.00000
-2.00000
-2.00000
-2.00000
sum(ck*d0k,k=0..3)
sum(ck*d0k,k=0..3)/d04
-7.94050
-8.10050
S
S/d04
1236.00000
1260.90602
S-sum(ck*d0k,k=0..3)
F4
1243.94050
1269.00652
F4*d04
1243.94050
12.3 Forward Prices
12.4 The Value of a Forward Contract
12.5 Swaps
12.5 Swaps
12.5 Swaps
12.6 Basics of Futures Contracts
12.6 Basics of Futures Contracts
12.6 Basics of Futures Contracts
12.8 Relation to Expected Spot Price
12.9 The Perfect Hedge
12.10 The Minimum-Variance Hedge
12.10 The Minimum-Variance Hedge