EF3320 Security Analysis and
Portfolio Management
Review of Mathematics & Statistics
Mean
The arithmetic mean is the most commonly-used type of
average and is often referred to simply as the average.
If the list is a statistical population, then the mea

EF3320 Group Project
Endowment Funds Management
Due on Nov 3
The project requires you to apply fundamental concepts of modern portfolio theory to
achieve an efficient portfolio allocation to meet certain investment objectives. You need
to use Excel to do

EF3320 Security Analysis and
Portfolio Management
How Securities Are Traded
Chapter 3
Primary and Secondary Markets
Primary Market: new issue; issuer receives the proceeds from
the sale, e.g. IPO, SEO, public debt offering, private placement.
Primary Mar

Chapter 2 - Asset Classes and Financial Instruments
CHAPTER 2: ASSET CLASSES AND FINANCIAL
INSTRUMENTS
PROBLEM SETS
1.
Preferred stock is like long-term debt in that it typically promises a fixed payment
each year. In this way, it is a perpetuity. Preferr

Quick Review
Real assets and financial assets
Investment process: Top down
Asset allocation
Security selection
Roles played by some financial assets in the recent
financial crisis.
MBS
CDO
CDS
EF3320 Security Analysis and
Portfolio Management
How

CHAPTER 6
egree of risk aversion is characterized by the slope of his or her indifference
curve. Indifference curves show, at any level of expected return and risk, the required risk pre
mium for taking on one additional percentage point of standard devia

EF3320 Security Analysis and
Portfolio Management:
Capital Allocation
Chapter 6
An Example
You are going to invest $100,000 for one year. You check
with your broker and find that you can buy T-bills with a
face value $100 for $95.2.
T-Bill: r = 100/95.2

Chapter 11 - The Efficient Market Hypothesis
Chapter 11
The Efficient Market Hypothesis
Multiple Choice Questions
1. If you believe in the _ form of the EMH, you believe that stock prices reflect all
relevant information including historical stock prices

Chapter 09 - The Capital Asset Pricing Model
Chapter 09
The Capital Asset Pricing Model
Multiple Choice Questions
1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is
A. unique risk.
B. beta.
C. standard deviation of

CITY UNIVERSITY OF HONG KONG
Course code & title : EF3320 Security Analysis and
Portfolio Management
Session : Summer 2002
Time allowed : Two hours
This paper has 11 pages (including this cover page).
1. Answer ALL questions.
2. Answer all multiple choi

EF3320 Security Analysis and
Portfolio Management
Chapter 16
Managing Bond Portfolios
Interest Rate Risk
As interest rates rise and fall, bondholders experience
capital looses and gains.
Therefore, the sensitivity of bond prices to changes in
market int

CHAPTER 3
5. Trading costs include explicit commissions as well as the bidwask spread. An ongoing contro-
versy among markets concerns overall trading costs including the effect of spreads and price
impact. The NYSE argues that it is often the cheapest tr

EF3320 Security Analysis and
Portfolio Management
Arbitrage Pricing Theory and
Multifactor Models
Chapter 10
CAPM Review
With CAPM, we have an expression for required rate of
return and cost of capital
Graham and Harvey (2000): 74% of firms use the CAPM

EF3320 Security Analysis and
Portfolio Management
Final Review
BKM 20.1
Final Exam
Dec 19th, 9:30am- 11:30pm, MPSH SPORTS
Calculator
One HAND-WRITTEN A4 SIZED sheet of formulas and
definitions with NO record of any specific questions or
solutions.
- Ha

CAPM Review
With CAPM, we have an expression for required rate of
return and cost of capital
Graham and Harvey (2000): 74% of firms use the CAPM
to estimate the cost of capital
The Security Market Line (SML) can be used to
identify mispricing
measure

EF3320 Security Analysis and
Portfolio Management
Chapter 14
Bond Prices and Yield
BKM 14.1
Why We Care?
Global stock market: around $60 trillion
Global bond market: over $100 trillion
100,000,000,000,000 USD
US Bond market: around US$822 billion volum

EF3320 Security Analysis and
Portfolio Management
Chapter 11,12
The Efficient Market Hypothesis
BKM 11.1
Efficient Market Hypothesis (EMH)
Do security prices reflect information fully and
immediately?
Why important?
Implications for business and corpor

184 PA RT l l Portfolio Theory and Practice
7. Suppose your expectations regarding the stock price are as follows:
State of the Market Probability Ending Price HPR (including dividends)
Boom .35 $140 44.5%
Normal growth .30 110 14.0
Recession .35 80 -l6

CITY UNIVERSITY OF HONG KONG
*EF3320 Advanced Security Analysis and Portfolio
Management
Course code & title
Session : Semester A, 1998-99
Time Allowed : Two hours
This paper has EIGHT pages. (Including this page & 2 pages of Appnedix)
Instructions

File: Chapter 12 Market Efficiency and Behavioural Finance
Multiple Choice
[QUESTION]
If you believe in the _ form of the EMH, you believe that stock prices reflect all relevant
information including historical stock prices and current public information

CHAPTER 10: ARBITRAGE PRICING THEORY
AND MULTIFACTOR MODELS OF RISK AND RETURN
PROBLEMS: 4, 5, 6, and 10
CFA PROBLEMS: 1-8
4.
Equation 10.9 applies here:
E(rp ) = rf + P1 [E(r1 ) rf ] + P2 [E(r2 ) rf ]
We need to find the risk premium (RP) for each of the

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS
PROBLEMS: 1, 2, 4, 5, 9, 12, 14, 17, 19, 23, and 24
CFA PROBLEMS: 1-6
1.
The correlation coefficient between stock returns for two non-overlapping periods
should be zero. If not, one could use returns from one p

CHAPTER 14: BOND PRICES AND YIELDS
PROBLEMS: 6, 8, 11, 15, 16, 21 and 22
CFA PROBLEMS: 3 and 6
6.
a.
Effective annual rate for 3-month T-bill:
4
100,000
1 1.02412 4 1 0.100 10.0%
97
,
645
b.
Effective annual interest rate for a BMW coupon bond paying 5

CHAPTER 16: MANAGING BOND PORTFOLIOS
PROBLEMS: 3, 4, 7, 8, and 9
CFA PROBLEMS: 1, 2 and 5 (a)
3.
The percentage change in the General Electric bonds price is:
4.
a.
Duration
7.194
y
0.005 0.0327 3.27% or a 3.27% decline
1 y
1.10
YTM = 6%
(1)
Time until
P

CHAPTER 7
9, Diversiﬁcation is based on the allocation of a ﬁxed portfolio across several assets, limiting
the exposure to any one source of risk. Adding additional risky assets to a portfolio, thereby
increasing the total amounts invested, does not red

CHAPTER 9
The Capital Asset {dicing Model
simple version of the expected return—beta relationship holds. But if those distributions change
unpredictably, or if investors seek to hedge nonmarket sources of risk to their consumption, the
simple CAPM will