Hong Kong University of Science and Technology
December 10, 2013
Investment Analysis (FINA3104)
Final-Term Exam (combined)
Note: all the data, numbers are annualized
Question 1 (15 points) CAPM
Stocks XYZ has an expected return of 12% and risk of Stock AB
Fixed Income Sample Exam Questions
1. If zero rates (also known as discount rates) are positive for any maturity, the
discount function dt, which gives the present value of a dollar receivable at time t
in the future,
A. Must be between 0 and 1
B. Must be
Hong Kong University of Science and Technology
December 10, 2013
Investment Analysis (FINA3104)
Final-Term Exam
Note: all the data, numbers are annualized
Question 1 (5points) Efficient Market Hypothesis
Matthews Corporation has a beta of 1.2. The annuali
FINA 3104 Practice Problems
Fall 2011
Fixed-Income Securities (Suggested Solution)
1. True or False
(a) A coupon bond that pays interest semi-annually is selling at par value and has a coupon
rate of 5.6%. Without knowing the maturity, the discount rate o
FINA 3104 Practice Problems
Fall 2011
Portfolio Performance Evaluation (Suggested Solution)
1. True or False
(a) Suppose two portfolios have the same average return, the same standard deviation of
returns, but portfolio A has a higher beta than portfolio
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 2 Testing the CAPM/ Single-Index Model
Suggested Solution
Problem 1 Betas
a) (You do not hav
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 3 Evaluating Fund Managers
Suggested Solution
Problem 1 Calculating Fund Managers Activeness
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 30, 2012
Registered Lecture Section (circle one 1 point for correct answer)
L3
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & Returns Utility
Suggested Solution
Problem 1 Extracting
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 3 Evaluating Fund Managers
Due at 12:00pm on Tuesday, November 20, 2012
Each group please su
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 4 Investing in Fixed-Income Securities
Suggested Solution
Background information
Today is Ja
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & Returns Utility
Due at 12:00pm on Tuesday, October 9, 20
Stock
HSBC Hldgs
CCB
China Mobile
ICBC
Bank of China
China Life
CNOOC
PetroChina
SHK Prop
Tencent
HKEx
Cheung Kong
China Shenhua
Bankcomm
Sinopec Corp
Hutchison
Ping An
CLP Hldgs
Hang Seng Bank
Li & Fung
Swire Pacific 'A'
HK & China Gas
China Unicom
China
Bond Name Maturity (in years) Coupon Rate (Coupons are paid Face Value ($) Current Price ($) Yield to Maturity
annually on January 1)
A
1
0%
1000
952.3810
5.000%
B
2
0%
1000
898.4524
5.500%
C
2
7.5%
1000
1037.2649
5.482%
D
5
5.868%
7%
1000
1047.8595
E
5
5
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 2 Testing the CAPM/ Single-Index Model
Due at 12:00pm on Thursday, October 25, 2012
Each gro
CHAPTER 28: INVESTMENT POLICY AND
THE FRAMEWORK OF THE CFA INSTITUTE
PROBLEM SETS
1.
You would advise them to exploit all available retirement tax shelters, such as 403b,
401k, Keogh plans and IRAs. Since they will not be taxed on the income earned from
t
CHAPTER 27: THE THEORY OF
ACTIVE PORTFOLIO MANAGEMENT
PROBLEM SETS
1.
Views about the relative performance of bonds compared to stocks can have a
significant impact on how security analysis is conducted. For example, as a result
of a predicted decrease in
CHAPTER 23: FINANCIAL STATEMENT ANALYSIS
PROBLEM SETS
1.
The major difference in approach of international financial reporting standards
and U.S. GAAP accounting stems from the difference between principles and
rules. U.S. GAAP accounting is rules-based,
CHAPTER 26: HEDGE FUNDS
PROBLEM SETS
1.
No, a market-neutral hedge fund would not be a good candidate for an investors
entire retirement portfolio because such a fund is not a diversified portfolio. The
term market-neutral refers to a portfolio position w
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 4 Investing in Fixed-Income Securities
Due at 12:00pm on Thursday, December 6, 2012
Each gro
Lecture 13, Supplementary File
Review, Linear Regression
Simple linear regression:
model: y = 0 + 1 x + , N(0, 2 );
observations: (x1 , y1 ), , (xn , yn )
Least squares point estimates of 0 (intercept), 1
(slope)
SXY
, b0 = y b1 x ,
SXX
P
P
where SXY =
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 10
Index Models
Yingying LI
March 16, 2016
Outline of Todays Lecture
Security Selection Can Be Intractable
Holding-Period vs. Expected Returns
Single-Factor & Single-Index Models
Systemic Ri
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 16
The Efficient Market Hypothesis
and Behavioral Finance (continued)
Yingying LI
April 13, 2016
Outline of Todays Lecture
EMH, Implications
EMH vs Behavioral Finance
More Examples
Discussio
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 20
Options Markets
Yingying LI
April 27, 2016
Outline of Todays Lecture
Option Basics
Option Payoffs
Options as Building Blocks
2
Options Contracts (Options)
Call option: Gives the holder t
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 9
The Capital Asset Pricing Model (CAPM)
Yingying LI
March 14, 2016
Course Intended Learning Outcomes
Once you have completed this course, you should be able to:
Allocate money across diffe
Lecture 19, Supplementary File (Optional), Covexity
Convexity
Lecture 19,
Supplementary File
(Optional),
Covexity
Because the price-yield relationship is convex, we need
the convexity adjustment.
Prices based on duration only will always underestimate
t
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 11
APT and Multifactor Models
Yingying LI
March 21, 2016
Outline of Todays Lecture
Introduction to Multifactor Models
Arbitrage Pricing Theory (APT)
Well-Diversified Portfolios and APT
Arbit
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 18 & 19
Managing Fixed-Income Portfolios
Yingying LI
April 20, 2016
Outline
Interest Rate Risk.
Maturity, Coupon, Yield, and Duration
Duration and Bond Price Sensitivity
Determinants and Pro
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 12
APT and Multifactor Models (Continued)
Yingying Li
March 23, 2016
Outline of Todays Lecture
Arbitrage with Well-Diversified Portfolios
Arbitrage in Multifactor Models
Connecting APT to SM
Lecture 14, Experiment
A: $240,000
B:
$1000,000 with 25% Probability
0 with 75% Probability
Your choice: (A or B)
Lecture 14, Experiment
C: -$750,000
D:
-$1000,000 with 75% Probability
0 with 25% Probability
Your choice: (C or D)
A+D is suboptim
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 21
Options Valuation
Yingying LI
May 4, 2016
Outline of Todays Lecture
Put-Call Parity
Determinants of Call Prices
2
Payoffs
Consider two strategies
1. Buy Call and Lend PV(X) vs. 2. Buy Put
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 13
Portfolio Performance Evaluation
Yingying LI
March 30, 2016
Outline of Todays Lecture
Performance Evaluation Overview
Six Performance Measures to Adjust for Risk
Application
Luck or Skill