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 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

File: Chapter 16 Managing Bond Portfolios
Multiple Choice
[QUESTION]
The duration of a bond is a function of the bond's:
A. coupon rate.
B. yield to maturity.
C. time to maturity.
D. all of the given answers.
E. none of the given answers.
Answer: D
Diffic

Chapter 06 - Risk Aversion and Capital Allocation to Risky Assets
Chapter 06
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 abo

Chapter 05 - Learning about Return and Risk from the Historical Record
Chapter 05
Learning about Return and Risk from the Historical Record
Multiple Choice Questions
1. Over the past year you earned a nominal rate of interest of 10 percent on your money.

Chapter 10 - Arbitrage Pricing Theory and Multifactor Models of Risk and Return
Chapter 10
Arbitrage Pricing Theory and Multifactor Models of Risk and Return
Multiple Choice Questions
1. _ a relationship between expected return and risk.
A. APT stipulates

File: Chapter 14 Bond Prices and Yields
Multiple Choice
[QUESTION]
The current yield on a bond is equal to:
A. the internal rate of return.
B. the yield to maturity.
C. annual interest divided by the par value.
D. annual interest divided by the current ma

Chapter 07 - Optimal Risky Portfolios
Chapter 07
Optimal Risky Portfolios
Multiple Choice Questions
1. Market risk is also referred to as
A. systematic risk, diversifiable risk.
B. systematic risk, nondiversifiable risk.
C. unique risk, nondiversifiable r

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

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

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

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

CHAPTER3:HOWSECURITIESARETRADED
Problems: 6, 7, 9, 10, 12, 16, and 17
a. The stock is purchased for: 300 $40 = $12,000
6.
The amount borrowed is $4,000. Therefore, the investor put up equity, or
margin, of $8,000.
b.
If the share price falls to $30, then

566 PART IV
1.
Even default-free bonds such as Treasury issues are subject to interest rate risk. Longer—term
bonds generally are more sensitive to interest rate shifts than are short—term bonds.

5.
crux. . :- 1, .mr
Oi men and rtErtuii
CHAPTER 10 365
Portfolios are called “well—diversified” if they include a large number of securities and the invest-
ment proportion in each is sufficiently small. Th

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

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 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 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 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 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 6: RISK AVERSION AND
CAPITAL ALLOCATION TO RISKY ASSETS
PROBLEMS: 4, 13-17, 21, and 27
CFA PROBLEMS: 1-9
4.
a.
The expected cash flow is: (0.5 $75,000) + (0.5 200,000) = $137,500
With a risk premium of 8% over the risk-free rate of 6%, the require

CHAPTER 9: THE CAPITAL ASSET PRICING MODEL
PROBLEMS: 1, 3, 4, 10, 11, 12, 15, and 21
CFA PROBLEMS: 2, 3, 5, 6, 7, and 10
1.
E(rp) = rf + p x [E(rM) - rf]
.16 = .06 + p X [.14 - .06] p = .10/.08 = 1.25
3.
a.
b.
c.
4.
False. = 0 implies E(r) = rf , not zero

CHAPTER 7: OPTIMAL RISKY PORTFOLIOS
PROBLEMS: 3, 12, 14, 15, 16, and 17
CFA PROBLEMS: 4, 5, 7 and 9
3.
(a) Answer (a) is valid because it provides the definition of the minimum variance
portfolio.
12.
Since Stock A and Stock B are perfectly negatively cor

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

EF3320 Security Analysis and
Portfolio Management
Chapter 14
Bond Prices and Yield
BKM 14.1
Why We Care?
Global stock market: $54 trillion
Global GDP: around $85 trillion
Global bond market: around $157 trillion
157,000,000,000,000 USD
US Bond market:

EF3320
SECURITY ANALYSIS AND PORTFOLIO
MANAGEMENT
SEMESTER A 2016/2017
WEEK 1
DR. ANDREW WONG
INVESTMENT ENVIRONMENT
1-2
REAL ASSETS VERSUS FINANCIAL
ASSETS
Real Assets
Determine the productive capacity
and net income of the economy
Examples: Land, bui

EF3320
SECURITY ANALYSIS AND PORTFOLIO
MANAGEMENT
SEMESTER A 2016/2017
WEEK 3
DR. ANDREW WONG
INTRODUCTION TO RISK,
RETURN, AND THE
HISTORICAL RECORD
5-2
INTEREST RATE DETERMINANTS
Supply
Households
Demand
Businesses
Governments Net Supply and/or Dem

EF3320
SECURITY ANALYSIS AND PORTFOLIO
MANAGEMENT
SEMESTER A 2016/2017
WEEK 5
DR. ANDREW WONG
OPTIMAL RISKY PORTFOLIO
7-2
THE INVESTMENT DECISION
Top-down process with 3 steps:
1.Capital allocation between the risky
portfolio and risk-free asset
2.Asset

EF3320
SECURITY ANALYSIS AND PORTFOLIO
MANAGEMENT
SEMESTER A 2016/2017
WEEK 4
DR. ANDREW WONG
RISK AVERSION AND CAPITAL
ALLOCATION TO RISKY
ASSETS
6-2
ALLOCATION TO RISKY ASSETS
Investors will avoid risk unless there
is a reward.
The utility model gives

EF3320
SECURITY ANALYSIS AND PORTFOLIO
MANAGEMENT
SEMESTER A 2016/2017
WEEK 2
DR. ANDREW WONG
HOW SECURITIES ARE
TRADED
3-2
HOW FIRMS ISSUE SECURITIES
Primary Market
Firms issue new securities through
underwriter to public
Investors get new securities;

EF3320: Security Analysis and Portfolio Management
Semester A 2016/17
Dr. Andrew Wong
Individual Assignment
Instructions
This assignment accounts for 20% of total assessment of your course.
Please answer all questions. Each question carries same score.
Pl