5' You manage a risky portfolio with an expected rate of return of 18
deviation of 28%. The T-bill rate is 8%.
3: Your client chooses to invest 70% ofa portfolio in
% and a standard
money market fund.
Sol
Expected returns of A 0.200 20.000
Expected returns of B 0.229 22.9
Expected returns of C 0.256 25.6
Variance A 0.004 SD A 0.060
Variance B 0.007 SD B 0.086
Variance C 0.009 SD C 0.095
Utility val
University of Glasgow
Business School, Accounting & Finance 2013/2014
International Capital Markets . S
SOLUTIONS TO TUTORIAL EXERCISE WEE
PORTFOLIO THEORY
1: Consider a risky portfolio. The end-ofyea
9* = D/(1+r)
13* = 3.7557/103 = 3.6463
The 201 basis point increase in annual interest rates will result in a 3.6463% decrease in
the value ofthe bond (from £105.58 to £101.73).
It should be noted tha
University of Glasgow
Accounting & Finance, Business School 2013
INTERNATIONAL CAPITAL MARKETS
SOLUTIONS TO EXERCISE WEEK 7
TECHNICAL ANALYSIS AND EQUITY VALUATION MODELS
1:
Wk _ Price
Basic Trading Systems
- Auction market {order or price driven}
Buyers and sellers submit bidand-ask prices (ordersl
for a given stock to a central location where the
orders are matched by a broker wh
J na~a+% .
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if; i. w"Calculate the 10-week moving average trend from weeks 1 to 24. $4;
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