Exhibit 1.12 illustrates three
portfolio mapping functions
for portfolios whose values
depend upon a single key
factor
.As we did in Exhibits 1.8, 1.9, and 1.10, sketch
what each conditional PDF of
might look like assuming
is conditionally normal with its mean at the mid-point of each
graph.
Exhibit 1.12 Portfolio mapping functions
for Exercise 1.14.
Solution
Your graphs should look something like
the following.
_small.jpg)
for portfolios whose values
depend upon a single key
factor
.As we did in Exhibits 1.8, 1.9, and 1.10, sketch
what each conditional PDF of
