Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 4
1. We use the equation E (ri ) rf 1.51 22
0.25 1.51 22
0.21 2.21 0.22
Solving these equations gives 1 0.1 and 2 0.05
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 3
1. Exactly 36 stocks gives a standard deviation of 60/6=10 percent.
2. The portfolio beta is 0.6*1.2+0.4*0.9=1.08.
3.
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 2
1. This is the variance covariance matrix
Canada
US
Germany
Canada
32.81
19.02
18.13
US
19.02
20.00
15.78
Germany
18.
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set I
1.(a) The bill yield was 2.825 percent. The yield and price are related via the formula
10000 P 360
y
*
10000
72
With
Second Midterm Exam
Fall 2010
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 55 minutes
Please write your answers on the page below each question
1. (10 points) Suppos
First Midterm Exam
Fall 2010
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 1 Hour
1. (15 points) An asset pays an investor $100 in one year from now and another $100
Final Exam
Fall 2012
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 3 hours
Please write your answers on the page below each question
1. (10 points) Sues utility funct
Final Exam
Fall 2011
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 3 hours
1. The price of a stock today is $50. The risk-free interest rate is zero. There are four p
Final Exam
Fall 2011
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 3 hours
1. The price of a stock today is $50. Assume that in one years time, it will either go up t
Final Exam
Fall 2014
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 3 hours
Please write your answers on the page below each question
1. (5 points) Assume that the ris
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 4
1. For both firms, the required return is 0.02 (1.4*0.05) 0.09 .
Let PB and g B denote the price and growth of expect
Problem Set 5: Solutions
1. Duration is 4.60 years.
2. (a) Because short-term rates are expected to rise, and because the risk of capital loss on a short
term security is less than on a long-term secu
Problem Set 5 for Economics 180.367:
Investments and Portfolio Management
Due at the beginning of class on November 23.
Note: Point totals are shown at the beginning of each question. It is important
Problem Set 4 for Economics 180.367:
Investments and Portfolio Management
Due at the beginning of class on November 9.
Note: Point totals are shown at the beginning of each question. It is important t
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 3
(1a) E
0.0168
0.021
1.2 and S
1.5
0.014
0.014
(1b) First we will find the weights that create a portfolio such th
Problem Set 3 for Economics 180.367:
Investments and Portfolio Management
Due at the beginning of class on October 19.
Note: Point totals are shown at the beginning of each question. It is important t
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 2
1. Assume the annualized net return on 1-month treasury bills (which are riskfree) is 0.0268, or 2.68
percent, then s
Solutions to Problem Set 5
1. (a) The two year yield is (1.05*1.07)1/2 1 = 6%
The three year yield is (1.05*1.07 *1.08)1/3 1 = 6.66%
(b) The price of the coupon bond is
6
6
106
+
+
= 98.41
2
1.05 1.06
Problem Set 6: Solutions
1.On 1/1/2007, B pays A 0.5*(0.053-0.0525)*$10 million=$2,500
On 7/1/2007, A pays B 0.5*(0.0525-0.052)*$10 million=$2,500
Now things go downhill for A:
On 1/1/2008, A pays B 0
Problem Set I for Economics 180.367:
Investments and Portfolio Management
Due at the beginning of class on September 28.
Note: Point totals are shown at the beginning of each question. It is important
Problem Set 6 for Economics 180.367:
Investments and Portfolio Management
Due at the beginning of class on December 7.
Note: Point totals are shown at the beginning of each question. It is important t
Economics 180.367: Investments and Portfolio Management
Solutions to Problem Set 2
1. This is the variance covariance matrix
Canada
US
Germany
Canada
32.81
19.02
18.13
US
19.02
20.00
15.78
Germany
18.
Final Exam
Fall 2013
Econ 180-367
Closed Book.
Formula Sheet Provided. Calculators OK.
Time Allowed: 3 hours
Please write your answers on the page below each question
Note: All interest rates and coup