Assignment #5 Solution (Actsc 372) Total marks: 50
Q1. (5 Marks) False. The stock price would have adjusted before the founders death only if investors had perfect forecasting ability. The 12.5 percen
ActSc 372 WINTER 2010
Assignment 5 Due Date: Monday, March 29, 2010 (Beginning of Class)
1. When the 56-year-old founder of Gulf & Western Inc. died of a heart attack, the stock price immediately jump
Winter 10 Actsc 372 Assignment 4 Solution 5 Marks for each part. (total 60 marks) 1 a. Let: X1= the proportion of Security 1 in the portfolio and X2= the proportion of Security 2 in the portfolio and
ActSc 372 WINTER 2010
Assignment 4 Due Date: Wednesday, March 10, 2010 (Beginning of Class)
1. Assume that the returns of individual securities are generated by the following twofactor model: Ri = E (
Assignment #3 Solution W10 Actsc 372 1. (a) Here are the additional assumptions for the calculations: TSX Monthly Expected Return 0.29% Variance/Covariance Matrix TSX TSX 0.22% RIM 0.46% 0.10% RY Roge
ActSc 372 WINTER 2010
Assignment 3 Due Date: Friday February 26, 2010 (Beginning of Class)
1. Excel Exercise. This question requires a data set that can be downloaded from the course webpage. All Exce
ActSc 372 Winter 2010
Assignment 2 Due Date: Friday, February 5, 2010 (Beginning of Class)
1. The returns on small-capitalization stocks and on the S&P/TSX 300 Index of common stocks from 2001 through
ActSc 372 WINTER 2010
Assignment 1 Due Date: January 25, 2010 (in class 12:30pm)
1. The certainty equivalent (CE) of a risk X is dened as u(CE ) = E [u(X )]. Suppose now you are an expected utility ma