This preview shows page 1. Sign up to view the full content.
Unformatted text preview: on the assumption that this alpha and beta will remain constant over the next year, you will be asked how to form a marketneutral tracking portfolio to capture the alpha. Question #4 : I will provide you with the returns for a portfolio and the S&P 500 (the market) along with the riskfree rate. You will need to calculate the arithmetic mean return for the stock, the geometric mean, the standard deviation and the beta. You will then need to calculate the riskadjusted performance of the portfolio using several riskadjusted performance measures. Question #5 : You will be asked some questions about the major assumptions of the CAPM, its conclusions, strengths, weaknesses, and various components. You will be asked to discuss (in general) the differences between a multifactor asset pricing model and a single factor model. You will be asked some specific questions about the multifactor model known as the FamaFrench Three Factor Model....
View
Full
Document
This note was uploaded on 03/09/2008 for the course FINC 725 taught by Professor Hansen during the Spring '08 term at Tulane.
 Spring '08
 Hansen
 Finance, Valuation

Click to edit the document details