Now 12/17/2015 15:33
Version 1/26/2014 23:39
Risk and return of portfolios of two risky assets
Debt
Weight in Debt wD ->
50%
Expected Return Debt E[rD]->
Equity
8%
Portfolio Expected Return->
50% <- wE Weight in Equity
13% <- E[rE] Expected Return Equity
Modified Duration
Bond A
Bond B
settlement
maturity
coupon
yield
delta y
in rate
de rate
Coupon
1/1/2000
1/1/2030
8%
4%
0.01%
4.0100%
3.9900%
0
Convexity
339.732230844
Rate Change
-0.0015169242
1
Weight
MDURATION 15.186228272
Duration
Total
Period
Cash Fl
1.
Construct a histogram of the distribution of 25 year holding period returns (HPR) in stocks using the
provided simulation data.
Histogram
7000
Frequency
6000
5000
4000
3000
2000
1000
104
98
92
86
80
74
68
62
56
50
44
38
32
26
20
14
8
2
-4
0
HPR
2.
3.
C
Chapter 15 The Term Structure of Interest Rates
The Term Structure of Interest Rates
The yield curve is a graph that displays the relationship between yield and maturity.
Information on expected future short term rates can be implied from the yield curv
Guanchu Jiang
East Asian 352
12.
How did the narrators in Ten Years of Madness deal with their experience in the Cultural
Revolution? How did they make sense of what happened? If you chose to write about this topic,
do not try to discuss the whole book, p
Chapter 11 checkpoints
1a. Suppose you observed that high-level managers make superior returns on investments
in their companys stock. Would this be a violation of weak-form market efficiency?
Would it be a violation of strong-form market efficiency?
b. I
Chapter 11
The Efficient Market Hypothesis
Multiple Choice Questions
1. If you believe in the _ form of the EMH, you believe that stock prices reflect all
relevant information including historical stock prices and current public information about the
firm
Issue Date
First Interest Date
Calc
Settlement Date
Annual Coupon Rate
Par Value
Frequency
Basis
Excel: ACCINT formula
Maturity Date
Days in the coupon period
Days until the next coupon
Days since last coupon
Percent of coupon owed
Accrued Interest