FINA2802/2320DETutorial8
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA2802/2320DE INVESTMENTS AND PORTFOLIO ANALYSIS
FIRST SEMESTER, 2015-2016
Tutorial 9 Market Efficiency Hypothesis and Dividend
Discount Model
Market Efficiency
Mark
FINA2802/2320DETutorial8
End of Chapter Questions
Chapter 10
Question 6
Assume that both portfolios A and B are well diversified, that E(rA) = 12%, and E(rB) =
9%. If the economy has only one factor, and Beta A = 1.2, whereas Beta B = 0.8, what
must be th
Notes: This is my view on this question, for the textbook suggested solution, please refer to the other sheet
To do this question, you will have to view the company in two parts
First we finish the first part relating to the first 5 year of investments
To
FINA2802/2320DETutorial8
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA2802/2320DE INVESTMENTS AND PORTFOLIO ANALYSIS
FIRST SEMESTER, 2015-2016
Tutorial 8 Multifactor Model, Arbitrage Pricing Model and
Portfolio Evaluation
Multifactor
FINA2320/2802DE Fall 2015: Midterm Formula Sheet
Basic Statistics:
(X, Y, Z, r are random variables, a, b are scalars)
[ + ] = + []
+ = + []
Var + = - Var()
Var + = - Var + - Var + 2Cov ,
Cov , = Cov(, )
Cov , + = Cov , + Cov(, )
Cov(, )
78
FINA2802/2320DETutorial9
End of Chapter Questions
Chapter 11
Question 6
Which of the following most appears to contradict the proposition that the stock market is
weakly efficient? Explain.
a. Over 25% of mutual funds outperform the market on average.
b.
Index Model
Jinghan Meng
Roadmap for Today
1.
2.
3.
Chapter 8.1: Single-Factor Model
Chapter 8.2: Single-Index Model
Chapter 8.3: Statistical Analysis of Single-Index Model
2
Review: Makowitz Model
Efficient frontier of risky assets: Best risk-return oppo