1 Mark 5 Multi-Period Model - Portfolio Consider a multi-period discrete-time model where the stock price is stochastic but the savings account is deterministic. Let (an, bn) be a self-financing portfolio where an and bn are the holdings in the stock and the savings account during the time period [n 1, n). 10 ------------------------------ 15 Which of the following statement is true in general? Not yet answered Select one: O a. Only an is stochastic and depends on the time n stock price, while on is time-dependent and deterministic. 15 of 25 O b. Both an and bn are stochastic and only depend on the time n stock price. Oc. Both an and bn are stochastic and only depend on the time n - 1 stock price. O d. Only an is stochastic and depends on the time n - 1 stock price, while bn is time-dependent and deterministic. O e. Both an and bn are stochastic and depend on the stock prices at times up to and include n - 1. e O f. Both an and bn are time-dependent and deterministic. Report question issue Notes 1 Mark 5 Multi-Period Model - Portfolio Consider a multi-period discrete-time model where the stock price is stochastic but the savings account is deterministic. Let (an, bn) be a self-financing portfolio where an and bn are the holdings in the stock and the savings account during the time period [n 1, n). 10 ------------------------------ 15 Which of the following statement is true in general? Not yet answered Select one: O a. Only an is stochastic and depends on the time n stock price, while on is time-dependent and deterministic. 15 of 25 O b. Both an and bn are stochastic and only depend on the time n stock price. Oc. Both an and bn are stochastic and only depend on the time n - 1 stock price. O d. Only an is stochastic and depends on the time n - 1 stock price, while bn is time-dependent and deterministic. O e. Both an and bn are stochastic and depend on the stock prices at times up to and include n - 1. e O f. Both an and bn are time-dependent and deterministic. Report question issue Notes