Corner Portfolios

Discussion in 'CT8' started by Gareth, Apr 3, 2006.

  1. Gareth

    Gareth Member

    In case I've missed something in my 6 day CT8 crash course...am I correct that A2004,8(iii) which asks to find a corner portfolio is no longer in the syllabus?

    [edit] Also in S2004,2(i), they ask what an Arrow-Debreu - I can't spot this in the notes...
     
    Last edited by a moderator: Apr 3, 2006
    Gareth, Apr 3, 2006
    #1
  2. ActuaryStudentUK

    ActuaryStudentUK Member

    Yup, that's still in the course. It's just a case of taking derivatives with respect to the 5 unknowns: lambda, mu and the three xi's.
     
    ActuaryStudentUK, Apr 3, 2006
    #2
  3. Gareth

    Gareth Member

    dont see any mention of corner portfolios in the notes...

    i guess its just an application of the lagrangians.
     
    Gareth, Apr 3, 2006
    #3
  4. Erik

    Erik Member

    Corner portfolio's are not in the CT8 course. (I am sure)
    Neither is the Arrow de whatever securties, however, being able to use them is useful when calculating state prices and deflators, which is still in the course. (See questions in 2003 papers on binomial model)

    Good luck!
    Erik
     
    Erik, Apr 3, 2006
    #4

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