Section I
1. The slope of the Security Market Line is:
(A) the Sharpe ratio of the market
(B) the market risk premium\/
(C) the expected return on the market
(D) None of these
. Which of the following is correct?
(A) Variance and covariance have the same
Chapter 6 Risk Aversion and Capital Allocation to Risky Assets
Multiple Choice Questions
1. Which of the following statements regarding risk-averse investors is true?
A) They only care about the rate of return.
B) They accept investments that are fair gam
Chapter 18
SOLUTIONS
Basic
1. a. Possibly. Alpha alone does not determine which portfolio has a larger Sharpe ratio.
Sharpe measure is the primary factor, since it tells us the real return per unit of risk. We only
invest if the Sharpe measure is higher.
Chapter 5
Risk and return: past and prologue
PROBLEM SETS
SOLUTIONS
Basic
1. The 1% VaR will be less than 30%. As percentile or probability of a return declines so
does the magnitude of that return. Thus, a 1 percentile probability will produce a smaller
Investment Management 2017 Semester 1 Midterm II
Questions and Answers
1. Consider the single factor APT. A well-diversified portfolio, Portfolio A, has a beta of 1.2
and an expected return of 10%. Another well-diversified portfolio, Portfolio B, has a be
UNIVERSITY OF MELBOURNE
Faculty of Business and Economics
INVESTMENTS
Prof. Spencer Martin
Solutions to Progress Check-Up
1. Roots
(I) Which of the following statements about a one-year short sale of one-year Government bonds is true:
c. This trade is fun
UNIVERSITY OF MELBOURNE
Faculty of Business and Economics
INVESTMENTS
Prof. Spencer Martin
Check Your Mid-Semester Progress
1. Understanding the Roots
(I) Which of the following statements about a one-year short sale
of one-year Government bonds is true:
Subject Overview
Part I: Fixed Income
Zero-Coupon Bond
Coupon Bond
Term Structure Models
Fixed-Income Portfolios
Credit Risk
Part II: Equity
Risk Aversion and Measuring Investment Strategies
Optimal Risky Portfolios
Capital Asset Pricing Model
Arbitrage
UNIVERSITY OF MELBOURNE
Faculty of Business and Economics
INVESTMENTS
Prof. Martin
More Practice for Investments MIDTERM TWO
A. Beta Launchpad
Assume the CAPM is true. Comment on the validity of the following statement made by Kang Analysts, Inc.:
The Kod
UNIVERSITY OF MELBOURNE
Faculty of Business and Economics
INVESTMENTS
Prof. Spencer Martin
Solutions to Progress Check-Up
1. Roots
(I) Which of the following statements about a one-year short sale of one-year Government bonds is true:
c. This trade is fun
UNIVERSITY OF MELBOURNE
Melbourne Business School
INVESTMENTS
Profs Martin
Solutions: More Practice
A. Beta Launchpad
There is no reason to believe that the risk of holding TKC has increased since the rocket explosion
is a firm-specific risk. Investors on
UNIVERSITY OF MELBOURNE
Melbourne Business School
INVESTMENTS
Prof. Martin
Some Extra Final Practice for Investments
A. A different view of Performance Evaluation
As financial consultant at Lets Get Fiscal, Inc., your guidance is needed. Sort out which li
Chapter 6
Efficient diversification
PROBLEM SETS
SOLUTIONS
Basic
1. So long as the correlation coefficient is less than 1.0, the portfolio will contain
diversification benefits. These combinations will result in a portfolio with a lower standard
deviati
Chapter 7
Capital asset pricing and arbitrage pricing theory
PROBLEM SETS
SOLUTIONS
Basic
1.
The required rate of return on a share is related to the required rate of return on the share
market via beta. Assuming the beta of CBA remains constant, the incr
670837 Junbo Wang
667009 Xianyu Zhu
Investment
690705 Zexuan Jin
management
Assignment
Question 1 Multiple Choices
a) C,
b) E,
c) D,
d) C,
e) C
Question 2
a. F
b. F
c. F
d. F
e. F
Question 3
a. What is the Macaulay duration of this bond? Why?
Macaulay Du
Your utility function is U =
E (r )
.
7 2 + 0.20
Semester
2016optimal
What is1,your
Semester 1, 2016
Exam
Practicefund
Questions
Solution
Miley do
He
portfolio?Final
That
is, which
do you
select, how much of your $100
Final Exam Practice Questions Solutio
Student Number:
THE UNIVERSITY OF
MELBOURNE
Department of Finance
Faculty of Business and Economics
Semester Two Examination, 2010
SUBJECT NUMBER: 333-693
SUBJECT NAME: INVESTMENT MANAGEMENT
EXAM DURATION: 2 hours
READING TIME: 15 minutes
TOTAL MARKS: 5
Answer Key
Multiple Choice Questions
1. Which of the following statements regarding risk-averse investors is true?
A. They only care about the rate of return.
B. They accept investments that are fair games.
C. They only accept risky investments that offer
Page 1 of 6
Investment Management 2017 Semester 1
Sample Final Exam Questions (Units 5 9)
1.
Which of the following statement is NOT correct?
A.
The bond price is inversely related to the required yield.
B.
All other things equal, the longer the term to m
Semester 1, 2016
Final Exam Practice Questions
Miley He
Please note the following questions are only prepared for practice purposes and are NOT
indications for the exam questions.
Question 1
Miley has $100 to invest. She needs some financial advice so she
Chapter 9
Bond prices and yields
PROBLEM SETS
SOLUTIONS
Basic
1. a.
Catastrophe bond are typically issued by an insurance company. They are similar to an
insurance policy in that the investor receives coupons and par value, but takes a loss in part
or all
PROBLEM SETS
SOLUTIONS
Basic
1. Duration can be thought of as a weighted average of the maturities of the cash flows paid
to holders of the perpetuity, where the weight for each cash flow is equal to the present
value of that cash flow divided by the tota
Investment Management
EMPIRICAL EXERCISE
Assessment
Although unassessed, this exercise is a valuable chance to implement some of the techniques
we followed in lecture. It is based on real world data.
A
Gettting Started
From the LMS, download the file as1.
UNIVERSITY OF MELBOURNE
Melbourne Business School
INVESTMENTS
Prof. Martin
Solutions: Final Practice
A. A different view of Performance Evaluation
(a) The treasury department of a large Fortune 500 corporation would like to estimate the companys
cost of c