sem 2, 2009 past exam

sem 2, 2009 past exam - 04137672 Monash University Semester...

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Unformatted text preview: 04137672 Monash University Semester Two Examination 2009 Faculty of Business and Economics Department of Accounting and Finance EXAM CODES: AFF/AFW3121 TITLE OF PAPER: INVESTMENTS AND PORTFOLIO MANAGEMENT EXAM DURATION: READING TIME: THIS PAPER IS FOR STUDENTS STUDYING AT: (office use only tick where applicable) AUTHORISED MATERIALS CALCULATORS YES NO OPEN BOOK YES NO SPECIFICALLY PERMITTED ITEMS if yes, items permitted are: YES NO six (6) nine (9) one (1 one (1) . ALL PLEASE CHECK THE PAPER BEFORE COMMENCING. THIS IS A FINAL PAPER. THIS EXAMINATION PAPER MUST BE INSERTED INTO THE ANSWER BOOK AT THE COMPLETION OF THE PAPER. NO EXAMINATION PAPERS SHOULD BE REMOVED FROM THE EXAMINATION ROOM AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 1 Year 5 (and NOT n 1) Tigma Bigma Market Index using the number of observations = n = (4 marks) (4 marks) (3 marks) (3 marks) (3 marks) (3 marks) (Total = 4 + 4 + 3 + 3 + 3 + 3 = 20 marks) Show workings for your calculations. AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 2 (i) above (7 + 7 = 14 marks) (6 marks) (Total = 14 + 6 = 20 marks) AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 3 (5 + 3 + 3 + 4 = 15 marks) (5 marks) (Total = 15 + 5 = 20 marks) Show workings for your calculations. Question 4 (5 marks) (5 marks) 2 marks) AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 4 (cont d) Hint (4 + 4 = 8 marks) (Total = 5 + 5 + 2 + 8 = 20 marks) Show workings for your calculations. Question 5 (8 marks (4 marks) AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 5 (cont d) (5 marks) (3 marks) (Total = 12 + 8 = 20 marks) Show workings for your calculations. Question 6 (3 + 3 = 6 marks) (4 marks) AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT Question 6 (cont d) (4 + 3 = 7 marks) (3 marks) (Total = 6 + 4 + 7 + 3 = 20 marks) Show workings for your calculations. TOTAL AVAILABLE: 120 MARKS END OF EXAMINATION AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT AFF/AFW3121: INVESTMENTS AND PORTFOLIO MANAGEMENT LIST OF FORMULAE (1 k) n Present value: 1/(1 k) t Correlation coefficient: ** Return (R): Portfolio beta: Future value: R jj ij n AYC wi port ln (Pt ) ln (Pt -1 ) E(R j ) RM RFR RFR 2 M Using Modified Duration: change approximation R jt pricing [ j F j1 1t j2 1 2 model: F2 t .. jk Expected return: 1 Nominal Risk - Free Interest Rate) (1 Risk premium) - 1 Foreign investment returns Home country return relative (RR) = Current Exchange Rate Initial Exchange Rate Arithmetic mean (AM): 1 **Imputation tax credit: 1/ n **Earnings capitalisation model or perpetuity: r u C RA ) / n 1 Rj ERj Vj 1 t CFt t 1 (1 k ) Expected portfolio return: n E ( R port ) Wi ( Ri ) i1 Net Income CommonEquity n 2 i w 2 i i1 Asset beta Covariance: n n wi w j covij P Covi , M 2 M i)-n 1 - (1 C par (1 i)n i i1i jj 1 i X [e rt ][ N ( d 2 )] 2 d1 [ (t )1 / 2 ] d2 e **Put call parity: put price: Bonds  pricing (for easy calculation)**: 2n Ct / 2 Par P or ** t (1 Y / 2) 2n t 1 (1 Y / 2) Portfolio variance: 2 port ur Cd / r ud = ROE: Net Income Net Sales Total Assets Net Sales Total Assets CommonEquity RA d Cu d ln( Ps / X ) (r 0.5 (t )1 / 2 d1 **Net tangible asset backing (NTAB): Coefficient of variation: CV S F Ps [ N ( d 1 )] Covariance of returns of two assets: Covij E R i E R i t ( t 1 ) C (t) P(1 y) t r 1 rf Black Scholes option pricing: Call Variance: 2 1 **Binomial option pricing: Call Basic valuation model: n (Return Relatives) ( Rt N Pc Geometric mean (GM): 2 T t **Share index futures: e **P/E multiplier: HPR / n Ym **Cost of carry futures: D0 (1 g ) D or 1 kg kg PV price **Share price index futures Fkt ] Dividend discount model: 1 Nominal Risk - Free Rate of Return 1 Inflation Rate D mod X bond ** Convexity of bonds: j Arbitrage Real RFR: (Foreign country RR ) P X 100 P (Covi , M Capital asset pricing model (CAPM): j Pm nc Pm 2 Security market line (SML): Holding period return (HPR): Income Price Change HPR Purchase Price Return relative (RR): Income Ending Value of Investment RR Purchase Price Annualised HPR (AHPR): RG Pc i i1 = **Annual effective return: R = (1 + rt)n  1 RA Pc Approximate yield to call t C i ** Macaulay duration of bonds: T t D t1 1 C Y Ct 1 Y n t1 FV T 1y t t 1 FV y T T X /( e rt ) Ps Pc Jensen s Alpha measure: aj [Rjt RFR] t j [Rmt RFR] t Sharpe measure: S ( R portfolio RFR) portfolio Treynor measure: T ( R portfolio RFR ) portfolio Risk adjusted performance (RAP) measure: mkt X R port port ** Not from Reilly and Norton. RFR RFR )t AFF3121/AFW3121 INVESTMENTS AND PORTFOLIO MANAGEMENT ...
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