BUFN 740: CAPITAL MARKETS
DIMENSIONAL FUND ADVISORS
YAJUN WANG
1
DIMENSIONAL FUND ADVISORS
The purpose of this case:
A brief review of the efficient market theory and
CAPM
How to turn new academic findings into
productive investment strategies.
Examine
Homework 2
Part 1: Chapter 6 questions: 13, 14, 15, 16, 17
Part 2: Additional questions:
1. Can indierence curves of the same individual cross one another? Why or why not? Can
indierence curves of one individual cross the indierence curves of another indi
Homework 4
1: Chapter 11 questions: 7, 9, 14, 19.
2. (Chapter 12 CFA problems 4) During an interview with her investment adviser, a retired investor
made the following two statements:
(a) I have been very pleased with the returns Ive earned on Petrie stoc
Homework 6
Illustrate the strategy and the cash flow table as what we did in the class.
4.
5.
6. You will be paying $10,000 a year in tuition expenses at the end of the next 2 years. Bonds
currently yield 8%.
(1) What is the present value and duration of
Homework 7
1. Consider an American June 75 put on IBM trading at $1.05.
(a) Draw the payoff diagram on the maturity date for the buyer and seller.
(b) Draw the profit diagram on the maturity date for the buyer and the seller.
(c) What is the break-even ma
1.
Data Exercise lDne
Using the Bloomberg, the DataStraam database, or Yahoo utilitarian5 download monthly
prices on an Excel spreadsheet for the period December 199? to December 1998 on the
SELF 500 Index. and the GM and lCisco stocks. Be sure to include
Homework 5
1. Consider a bond with a 10% coupon and with yield to maturity of 8%. If the bonds yield
to maturity remains constant, then in one year, will the bond price be higher, lower, or
unchanged?
2. A 20-year maturity bond with par value of $1000 mak
Homework 3
1. Chapter 9 questions: 1, 2, 3.
2. We will learn to estimate alpha and beta for stocks here. Go to yahoo finance webpage.
Download the monthly adjusted closing prices for the following stocks: Boeing, Bank of America, Coca-Cola Co., and Exxon
Ceres Gardening Company
Financial Analysis
0
Executive Summary
Ceres Gardening Company was founded in 1989 with a mission to promote sustainable organic
gardens and landscapes by selling organic seeds, seedlings, and live plants. In the past five years, C
Question 1.
As of 1992 Humana was considered to be Americas largest integrated health
care provider and responsible for the introduction of breakthrough changes in its
industry. The company was considerably leveraged in the middle of 1992 but
analysts did
Geographic Areas
Sales
1997
Pct of
Total
Amoco
Operating
Pct of
Income
Total
Assets
Pct of
Total
Sales
Pct of
Total
British Petroleum
Operating
Pct of
Income
Total
Assets
Pct of
Total
Europe (a)
United States
Rest of world (b)
Total Foreign
2,133
28,199
5
To: CEO and Board of Directors
From: Nicole Bellis, Alison Marco, Efther Samuel, Dean Wallace, Chad Ellis
Date: March 20, 2016
Subject: Digby Performance Assessment through Year 2
We have now completed our second Year of operations in the sensor manufactu
Group 1
Case 2 - CompuSys
UMUC FIN645 Behavioral Finance
Professor Antuan Mifsud
Prepared by:
Oluwarotimi Adepoju
Nicole Bellis
Chad Ellis
Michael Howard
Eric Jorgensen
Niesha Thompson
Behavioral Features
1. Affect Heuristic is when people base decisions
FINC 331 6382 Finance for the Nonfinancial Manager (2162)
Coca Cola Financial Analysis
Group Members:
Christian Sanchez
Jason Rakowski
Lisa Irwin
Thomas Herne
Dawn Hendrix
Professor:
Johnson Marion
Table of Contents
I.
Introduction
II.
Balance Sheet Analy
Hendrix, FINC Essay
Considering that most companies are concerned with:
Ability to accurately forecast financial results
Maintaining productivity during an economic downturn
Balance sheet weakness
Rising cost of healthcare
Attracting and retaining top qua
Q1
Using MATLAB, we can get annualized p and for all 25 portfolios as following:
portfolios
p
p
1
-6.0531
1.646038494
2
-1.1133
1.508486476
3
2.8438
1.367950262
4
5.0254
1.309954687
5
6.801
1.405239003
6
-1.9373
1.285503405
7
1.8401
1.304389195
8
3.7688
1
Q5
T
T
T
T
t
1
t
1
ut2 ut ut V ut 2 T 2
t
1
2
t
1
Q4
T
T
[( ) ( ) xt ]2 [( qs u s ) ( ws u s ) xt ]2
s
1
s 1
T
T
T
T
2
( qs u s ) 2 ( ws u s ) 2 xt 2 qs u s ( ws u s ) xt
s
1
s
1
s
1
s 1
T
T
T
T
2
( qs u s ) 2 ( ws u s ) 2 xt 2 qs u s ( ws u s )
%
% This function estimates the alpha and beta coefficients in univariate
% linear regressions. It also computes the respective standard errors.
%
% INPUTS: - y: vector of dependent variable (Tx1)
% - x: vector of independent variable (Tx1)
% (the const
Problem Set 2: Volatility Models
Question 1
Consider the following ARCH(1) model:
y t = + ut
vt N (0, 1)
ut = vt t
2
t = 0 + 1 u2
t1
Suppose that you have data available up to and including time t. Write down the expressions for the forecasts of 2 for per
Question4
1. y 0.0290 0.9725 y u
t
t 1
t
Standard deviation=0.2651
2. y 0.9310 1.5080u 1.2488u 0.6036u u
t
t 1
t 2
t 3
t
Standard deviation=0.3475
3. y 0.0497 0.9506 y 0.4248u u
t
t1
t 1
t
Standard deviation=0.2478
4.Using ABIC, the best ARMA model specif
Robert H. Smith School of Business, University of Maryland
Problem Set 1: ARMA Models
Section: BUFN758O_0501
Prepared by
Yufei Du (114288295)
Di Wu (114224002)
Xiaonan Hu (114554157)
Diyi Liang (114333100)
November 4, 2015
Questions and Answers
Question 1
Univariate Time-Series Modeling and
Forecasting
BUFN 758O
Prof. Rossi
BUFN 758O (Prof. Rossi)
Univariate Time-Series Modeling
1 / 37
Univariate Time-Series Modeling and Forecasting
Univariate time series models are a class of specications where one
attemp
Study Questions for Itos Dilemma Case
1. Using the Black-Scholes pricing function in Excel, compute an option value for each
strike price and maturity date in case Exhibit 2. For simplicity, assume zero dividend
yield. Also, use Louise Itos volatility est
Homework 3
1. BKM 4, 5, 6, 9, 10-16, 17-19, CFA 1-7 Do not turn this part in.
2. In the first homework you calculated excess returns for the four stocks in the file returns.csv.
Use this and the excess returns on the market portfolio to estimate the alpha
BMGT 740: Homework 2
In this assignment we nd the minimum variance frontier with multiple risky
assets. You should complete the assignment using Matlab. Your solution should
a .m le with precise commenting and a brief printed writeup.
1. Import the le ret
BUFN 740: Capital Markets
Topic 6
Options
(BKM 20, 21)
BUFN 740: Capital Markets Topic 7
1
The Option Contract: Calls and Puts
A call option gives its holder the right to buy an asset:
At the exercise or strike price
On or before the expiration date
Exe