Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 9 Partial Solutions: Term Structure of Interest
Rates
PART A
Problem 1*
P1.1
Uncertain. Lower inflation usually leads to lower n
Department of Finance
FNCE30001 Investments
Semester 2, 2017
Week 4 Tutorials (Week beginning 14 August)
The CAPM
PART A (Tutorial Questions)
PROBLEM 1
Problem 1.1 [Questions 1 on page 173 of Bodie, e
Investments
Lecture 10 - The Term Structure
Zero rate (spot rate): the interest rate for the period from
today (time 0) to a future date. Symbol: z
Future rate: the interest rate, set today (time 0),
Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 7 Partial Solutions: Fixed Income Valuation
PART A
Problem 1*
Define the following terms:
(a)
zero-coupon bond
A security that m
Investments
Lecture 7 - Performance Appraisal
The Fundamental Issue in Performance Appraisal
My portfolio has achieved a return of x%. Is this good or bad?
The fundamental issue is: good or bad comp
Investments
Lecture 5 - Arbitrage Pricing Theory and Multifactor Models of Risk and Return
Single Factor Model Equation
where;
ri =
Return for security i
i =
Factor sensitivity, factor loading, for fa
Investments
Lecture 11 - Managing Fixed Income
Bond Portfolio Risks
Bond investment often called "fixed income"
For many bonds, most properties are fixed: coupons, maturity, par value
Yield is not
Investments
Lecture 9 - Coupon Bonds
Pricing a Fixed-coupon Bond
A (fixed) coupon bond generates a set of future cash flows, unlike the zero which
generates just one future cash flow. So, a coupon bo
Investments
Lecture 2 - Optimal Risky Portfolios
"The most fundamental decision of investing is the allocation of your assets"
Short Sale - The sales of shares not owned by the investor but borrowed t
Investments
Lecture 8 - Fixed Income Securities
Definition: Four characteristics of fixed income security (note, bill, bond, debenture) are:
1. the issuer (debtor, borrower) promises to repay the inve
Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 7: Fixed Income Valuation
Note: Solutions will be provided on the LMS for questions with a * next to them. The remaining
questio
Investments
Lecture 3 - The Capital Asset Pricing Model
The Markowitz portfolio selection model:
derives the efficient frontier of risky assets
provides a framework for optimally combining risky funds
lOMoARcPSD
Exam 10 September 2015, questions and answers
Investments (University of Melbourne)
Distributing prohibited | Downloaded by Ka Man Carrie Chan ([email protected])
lOMoARcPSD
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Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 10 Partial Solutions: Managing Fixed-Income
Portfolios
PART A
Problem 1*
P1.1
Computation of duration:
1. yield to maturity = 6%
Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 9: Term Structure of Interest Rates
Note: Solutions will be provided on the LMS for questions with a * next to them. The remaini
Department of Finance
FNCE30001 Investments
Semester 2, 2015
Assignment 8: Coupon Bonds
Note 1: Solutions will be provided on the LMS for questions with a * next to them. The remaining
questions will
Overview Intro Expected Utility and RA Mean Variance Utility Capital Allocation Feasible portfolios Optimal Portfolios Practice Conclusions Appendi
Asset Allocation:
One risky and one risk-free asset
FNCE30001 Investments
Second Semester 2017
Formula List
P + D1 P0
r1 = 1
P0
E ( rP ) = wi E ( ri )
i
P + D1
r1 = n 1
P0
n
P2 = wi w j ij
i =1 j =1
E ( r ) = p ( s ) r ( s ) E ( r )
2
AB
A B
A
FNCE30001
Investments
SUBJECT GUIDE
Semester 2, 2017
Prepared by
Emeritus Professor Rob Brown
email: [email protected]
Department of Finance
Faculty of Business and Economics
Contents
SUBJECT OUT
333-301 Semester 1, 2009 Midterm with Solutions
Below are the aggregated solutions to both versions of the exam.
Questions 1 & 2 use the following information:
You are an investment advisor, and you h
333-301 Investments
Semester 2, 2009
333-301 Investments Mid-Semester Exam with Solutions
Semester 2, 2009
1. According to the mean-variance criterion, which of the statements below is correct?
Invest
Overview
Optimal Weights
Example
Problems
Estimation Error
Solution
Behavioural Finance
Conclusions
Portfolio of Risky Assets (in practice)
Antonio Gargano
Investments
University of Melbourne
Semester
Overview
What is an Investment ?
Measuring Return
Comparing Returns
Expected Return
A model for Returns
Risk, Uncertainty and Return
Antonio Gargano
Investments
University of Melbourne
Semester 1, 201
Overview
Broad Perspective
Assumption
Implications
Is it testable ?
How do we test it?
Validity
What (else) do we do?
Conclusions
The Capital Asset Pricing Model
Antonio Gargano
Investments
University
Overview One Factor Model Index Model
Two Factors Which Factors? APT: Assumptions APT model Conclusions APT Math Macro Approac
Multifactor Models
and
the Arbitrage Pricing Theory
Antonio Gargano
Inves
Managing
Bond
Portfolios
Antonio Gargano
Key Points
Official
Managing Bond Portfolios
Risks Overview
Intro
Risks
Antonio Gargano
Interest Rate
Sensitivity
intro
1 and 2
3 and 4
5
6
Investments
Univers
Department of Finance
FNCE30001 Investments
Semester 2, 2017
Week 5 Tutorials (week beginning 21 August)
Solutions for Students
The Index Model
PART A (Tutorial Questions)
PROBLEM 1
Problem 1.1
Impact
Problem 1 Part B (no 8 in the book)
The cash fund sure rate indicate that risk-free rate is 5.5%. The parameters of the opportunity set
are:
E(rS) = 15%, E(rB) = 9%, S = 32%, B = 23%, = 0.15, rf = 5.5
Problem 1
Both vectors might denote a vector of weights because the sum of their elements equals one.
Problem 5
No, it is not possible to get such a diagram. Given a combination of assets, the effici