FBE441: Investments Solutions for Spring 2008 Final Exam [Section 15362: MW 04.00-05.50pm] Policy on re-grading: If after reading the solution, you genuinely believe that the score given was in error, you may submit your exam for re-grading during office hours. However, if your answer is STILL incorrect, you may be deducted additionalpoints for making frivolous claims. (After reading the solution, you should know whether your answer was correct or not!) Question Answer PointsEarned1. i ii 5 points 2. i ii 5 points a) i ii iii iv 3. b) i ii 10 points a) i ii iii iv 4. b) i ii iii iv 10 points a) i ii iii iv b) i ii c) i ii iii iv 5. d) E(R) = 16% Stdev (R) = 30% 20 points a) Portfolio P = 1.667 Portfolio Q = -2.667 Risk-free = +1 6. b) i ii iii iv 15 points 7. i ii iii iv 5 points 8. i ii iii iv 5 points 9. a) Alpha (A) = 1% Alpha (B) = 2% SR (A) = 0.4907 SR (B) = 0.3373 TR (A) = 0.08833 TR(B) = 0.105 15 points b) i ii a) i ii iii iv b) i ii iii c) i ii iii iv 10. d) i ii iii iv e) Rf= $0.02mln MKT= $0.98mln SMB= $0.302mln HML= $0.591mln WML= -$0.257mln f) E(R) = 13.943% 30 points Total 120 points
has intentionally blurred sections.
Sign up to view the full version.