EC3333 MidTermPaper2010Fall - EC3333 NATIONAL UNIVERSITY OF...

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EC3333 NATIONAL UNIVERSITY OF SINGAPORE EC3333 FINANCIAL ECONOMICS I: MID-TERM (SEMESTER I : AY2010-2011) Time Allowed: 1.5 Hours INSTRUCTIONS TO CANDIDATES 1. This examination paper contains 3 questions and comprises 6 printed pages including this front page. The last page provides a formula which you may find useful. 2. Answer all questions. 3. Total marks are 25 . 4. Use answer papers to answer questions. Write down your Matriculation Number, Name and Tutorial Group Number (e.g. W1, W2 etc.) on your answer paper. 5. This is a CLOSED BOOK examination.
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EC3333 2 1. (12 marks) There are 3 assets for an investor to form his/her portfolio. A T-bill has a rate of return of 4%; Risky asset A’s rate of return has an expectation of 6% and a standard deviation of 2%; Risky asset B’s rate of return has an expectation of 8% and a standard deviation of 4%. The rates of return of assets A and B are independent. (a)
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EC3333 MidTermPaper2010Fall - EC3333 NATIONAL UNIVERSITY OF...

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