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. What is the 'eggpected value\and standard
on his portf
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 value A = 4 U = E(R) - 0.005 A StDA2
A 19.28
B 21.42
C 23.
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-ofyear cash ow derived from the portfolio will be either
£70
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 that using D* to measure the interest rate sensitivity of
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 _ MA-10 _-MA1 Chg Bunyell Return Return
1 50 >1 * * *
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 who does not own
the stock but acts as a facilitating age
J na~a+% .
Please use the attached t le at he end 0 this do u
if; i. w"Calculate the 10-week moving average trend from weeks 1 to 24. $4;
at
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