Roierez - you are right on the hedging question. You needed more of the hedging instrument than you had in the underlying so 30 or -30 were not valid choices. -120 is correct since you need a short position in the hedging instrument to counter your long position in the underlying. Though I hedge everyday at work I, me idiot chose +120
Regarding the question with the banks and potential liquidity problems when haircuts are increased: haircuts are always a percentage of the value, so of course you had to use percentages. The bank with the least amount of assets not yet pledged as a percentage would be the one most likely to run into problems.
Regarding the asian option - someone had mentioned using 43 ending price (vs. fixed strike of 40) to determine that the option is in-the-money: Nope, asian price option (call) here would use an average stock price of 41.5 i think, which is still in-the-money I would say, so I chose delta = 1. But, I think others who posted here are right: asian options will have a delta of 0 close to expiration, no matter what the price. Not sure why, but anyway -damn!.
Yes, "Type I Noise-To-Signal-Ratio" was 3 / 15 = 0.2, I believe. You weren't actually asked to calculate the Type I error but the NSR Type I (=Noise to Signal Ratio = Noise / Signals = False alarms / Signals = Type II error / 1-(Type I error) = 3/15)
Anyone any ideas regarding the question above, why one would choose Asset B with low volatilty or Asset A with high excess return to be added to the portfolio? I thought of 3 ways to solve that question (above) but cannot really imagine that GARP would require us to do that much interpretation...
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