UNIVERSITY OF TEXAS AT DALLAS
SCHOOL OF MANAGEMENT
FIN6310: INVESTMENT MANAGEMENT
SOLUTIONS TO PROBLEM SET #2
PROF. ARZU OZOGUZ
SPRING 2013
1. Consider the following historical returns from stock 1 and stock 2:
Year 1
Year 2
Year 3
Year 4
Year 5
Year 6
Ye
UNIVERSITY OF TEXAS AT DALLAS
SCHOOL OF MANAGEMENT
FIN6310: INVESTMENT MANAGEMENT
SOLUTIONS TO PROBLEM SET #1
PROF. ARZU OZOGUZ
SPRING 2013
1. Calculate the value of the following two bonds. Assume that coupon
payments are made semi-annually and that par
Abstract
Sandra Meyers founder of CapGlobal Advisors LLC (Cap Global), built the
companys foundation on primarily on international diversification, because their client
base was primarily small but large institution the importance of keeping them all was
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Valery Polkovnichenko
University of Texas at Dallas
FIN 6310 Investment Management: LN 1
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FIN 6310 Investment Management
Lecture Notes Set 1
Valery Polkovnichenko
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Finance 6310
Professor Valery Polkovnichenko
Finance 6310 - Homework 1 - Answers
1. Spreadsheet on the class web page calculates these values using Excel functions.
(a) Statistics:
E()
2 ()
()
Y
-0.458166667
94.66262879
9.729472174
X
-0.173666667
22.6673
Finance 6310
Professor Valery Polkovnichenko
Finance 6310 - Homework 2 - Answers
1. UBID-MALL
(a) The spreadsheet on the answer page has details of calculations. With $19 Mil. it is possible
to support about 448,377 shares short of UBID and a matching 1.4
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 6
Question 1.
Download the spreadsheet apm1.xls for this homework. It contains excess returns (adjusted for inflation) for
decile portfolios of NYSE/NASDAQ stocks sorted by their
Expected Std. Dev Sharpe
return
ratio
1
0.1
0.15
0.33
2
0.2
0.3
0.50
1 and 2 correlation
Risk free rate
0.1
0.05
ER
To use solver click on "Tools"->"Solver"
MVE weights from Solver
Fraction in 1
Fraction in 2
0.55
0.45
MVE weights from formula
0.55
0.45
M
Portfolio Theory II: two and more risky assets
FIN 6310 Investment Management
Lecture Notes Set 5
Valery Polkovnichenko
University of Texas at Dallas
Valery Polkovnichenko
FIN 6310 Investment Management: LN 5
Portfolio Theory II: two and more risky assets
Using solver to find optimal portfolio from maximizing utility U
To use Solver: When cursor (a bold rectangle) is on the cell with "U"
a) Click with your mouse on "Data" menue above
b) Choose "Solver" from "Data" menue
c) In the solver make sure that "Max
Professor Valery Polkovnichenko
Finance 6310 - Homework 4 - Answers
1. (a) We can compute the utiltiy of each investment opportunity to rank them.
For the investor with = 2, we have utlity equal to (i) 0.03, (ii) 0.04, and
(iii) 0.02, therefore the rankin
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 5
NOTE: Answers must be justified. Correct answers without explanation will not be
given credit.
Problem 1 (Triad funds continued)
(C)
You client also recalls reading a while ago
Professor Valery Polkovnichenko
Finance 6310 - Homework 2 - Answers
1. (c) You have to use Sharpe Ratio optimization spreadsheet on the web page to
calculate the weights using either solver or the formula. The weights are:
VE
VE
xM
= 0.53 and xM
= 0.47. T
FIN 6310: Investment Management
Professor Valery Polkovnichenko
Homework 6
Question 1.
Consider a one factor APT. Suppose that you know that two well diversified portfolios in the table below are
correctly priced, i.e. have expected returns determined by
Returns: computation, averaging etc.
Adjustments: inflation and taxes
Risk and return distributions
FIN 6310 Investment Management
Lecture Notes Set 3
Valery Polkovnichenko
University of Texas at Dallas
Valery Polkovnichenko
FIN 6310 Investment Management
Investor Risk-Return Tradeoff
Portfolio Theory I: riskless and risky asset
FIN 6310 Investment Management
Lecture Notes Set 4
Valery Polkovnichenko
University of Texas at Dallas
Valery Polkovnichenko
FIN 6310 Investment Management: LN 4
Investor Risk-Retu
Diversification effects in a large portfolio
Index model of security returns
Data for asset allocation: applying index model
Some problems of asset allocation
FIN 6310 Investment Management
Lecture Notes Set 6
Valery Polkovnichenko
University of Texas at
Return and Systematic Risk
CAPM
Does CAPM work in the real world?
FIN 6310 Investment Management
Lecture Notes Set 7
Valery Polkovnichenko
University of Texas at Dallas
Valery Polkovnichenko
FIN 6310 Investment Management: LN 7
Return and Systematic Risk
Burlington Northern
Santa Fe, LLC
2016 FIXED-INCOME
INVESTOR CALL
NOVEMBER 9, 2016
This presentation is intended to provide information to certain investors in
Burlington Northern Santa Fe, LLC and BNSF Railway Company debt securities.
The information pre
Professor Valery Polkovnichenko
1 of 9
Name (PRINT):
Exam 1
FIN 6310 Investment Management
Spring 2016
Good luck!
PLEASE DO NOT TURN THIS PAGE OVER UNTIL YOU ARE ASKED TO DO SO.
You have 2 hours and 45 minutes to complete this test. There are 100 total
Professor Valery Polkovnichenko
1
1. An investor shorted a stock at $45. She invested $10,000 of her own money in this
short position. Initial margin is 60% and maintenence margin is 30%. All parts
can be answered independently of each other.
(a) How larg
Professor Valery Polkovnichenko
1
Practice 1 Answers FIN 6310 Investment Management Spring 2008
1. (15 points) An investor shorted a stock at $45. She invested $10,000 of her own
money in this short position. Initial margin is 60% and maintenence margin i
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 2
Problem 1. UBID-MALL continued.
a)
Suppose you have $20,000,000 ($20M) of investable capital. You can buy shares on the
margin and sell shares short. Initial margin is 50% and
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 1
Problem 1. For the following set of questions you will need to use the Excel data file
from the class webpage. It contains observations about two variables X and Y. Use Excel
f
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 4
NOTE: Answers must be justified. Correct answers without explanation will not be
given credit.
Problem 1
Consider the mean variance utility U for two risk averse investors, one
Finance 6310: Investment Management
Professor Valery Polkovnichenko
Homework 3
Problem 1. The end-of-month closing prices for Eastman Kodak and Archer Daniels
Midland are given below. Kodak paid a $0.50 cash dividend per share on August 28
and November 27
Purchasing on Margin
Short Sale
Leverage Effects on Returns
Combined Long and Short Margin Requirements
Merger Arbitrage
FIN 6310 Investment Management
Lecture Notes Set 2
Valery Polkovnichenko
University of Texas at Dallas
Valery Polkovnichenko
FIN 6310
Finance 6310
Professor Valery Polkovnichenko
Finance 6310 - Homework 2b - Answers
1. Problem 1:
(a) In these calculations you have to make sure that you account for the splits, stock dividends
and cash dividends. The way to do it is to use the formula in