ACTSC 372 Review

ACTSC 372 Review - ACTSC 372 Review The exam will cover the...

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ACTSC 372 Review The exam will cover the entire course. The exam will look very much like the assignments, tests and the workbook questions. Chapter 10: Most of this is straightforward background material. VaR will not be tested. Chapter 11: This is all important material. You should be able to find the minimum variance portfolio of two stocks; show things like “a risk free portfolio consisting of 2 risky securities exists iff the correlation is ±1 ”; explain why it is the covariances that matter in a large diversified portfolio, not the variances (and thus diversification can work) know the difference between systematic and unsystematic risk state the Markowitz mean-variance optimization formula (you won’t need to solve this except in easy cases) draw the efficient frontier, the CML and the SML know CAPM and know what beta is, and how to find the beta of a portfolio, given the beta of its components.
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This note was uploaded on 03/30/2012 for the course ACTSC 372 taught by Professor Maryhardy during the Winter '09 term at Waterloo.

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ACTSC 372 Review - ACTSC 372 Review The exam will cover the...

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