Assignement 2
Question 1: ABL shares are currently trading at a price of $27, while HHT shares are trading at a price of $13.65. The risk-free rate is 1.49% per yea
a) Identify which of the following options are in-the-money, out-of-the-money or at-the-mo
COVER PAGE
FI`NA 385
Assignment #1
Due at the beginning of the class on Thursday, February 14th
Instructions:
Please do print this cover sheet and staple it on top of your answers, as a cover page
PRINT your NAME, I.D.#, and SECTION in the space provided
FINA 385 Section B&C A1 Solution Key
As each student has a unique solution for their assignment this solution key will only highlight
the correct process. It is also assumed that Excel was used though other statistical packages might
have been use to achi
Question 1: ABL shares are currently trading at a price of $9, while HHT shares are trading at a price of $30.82. The risk-free rate is 1.77% per year. Using the information above, perform each of the following tasks:
a) Identify which of the following op
Print Last Name:
Print First Name:
ID Number:
COURSE
FINANCE
NUMBER
COMM 308
SECTIONS: ( Circle your section)
A, AA, B, BB, C, D, E
EXAMINATION
DATE
Final Exam
December 10, 2010
VERSION BLUE
INSTRUCTOR:
( Underline your instructors name)
Rahul Ravi
Jennif
Print Last Name:
Print First Name:
ID Number:
COURSE
FINANCE
NUMBER
FINA 385/2
SECTION:
B & C Version 1
EXAMINATION
Final Exam
DATE
Dec 15, 2010
TIME
3 hours
INSTRUCTOR:
D. Newton
# OF PAGES 16
including cover
DIVISION
John Molson School of Business
Conco
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 5: Capital Allocation to Risky Assets
Chapter 5 Summary
Concepts and Issues: Return, Risk,
and Risk Aversion
Objective: To introduce key concepts and issues
that are central to informed deci
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 3: How Securities are Traded
Chapter 3 Summary
How Securities are Traded
Objective: To explain the institutional
details and mechanics of investing in
securities.
How firms issue securities
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 2: Markets and Instruments
Chapter 2 Summary
Markets and Instruments
Objective: To introduce the features of
various security types, necessary for the
understanding of the coming material
Mo
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 1: The Investment Objective
Chapter 1 Summary
The Investment Objective
Objective: To provide a general overview of
the investment environment
Short History of Investing
The Investment Object
FINA 385 Finance Theory I
Assignment 2
Summer 2015/Section AB
Group member:
Zhang Yanming 26683592
1.
The 15 TSX listed stocks we have chosen for this assignment is as follows (Ticker and
Company Name):
FCR.TO
First Capital Realty Inc.
FM.TO
First Quantum
FCR.TO First Capital Realty Inc.
FM.TO First Quantum Minerals Ltd.
FR.TO First Majestic Silver Corp.
FRU.TO Freehold Royalties Ltd.
FTT.TO Finning International Inc.
WFC.TO Wall Financial Corp.
WFT.TO West Fraser Timber Co. Ltd.
WJA.TO WestJet Airlines Lt
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 6: Portfolio Selection
Chapter 6 Summary
Portfolio Selection
Objective: To present the basics of modern
portfolio selection process
Capital allocation decision
Two-security portfolios and
Chapter 7
The Capital Asset Pricing Model
Sharpe, Lintner and Mossin are researchers credited with
its development (in the mid 1960s)
CAPM is an extension of the Markowitz portfolio selection
model
Derived using principles of Markowitz diversification
Equ
Chapter 20 (20.1, 20.3 to 20.7)
Futures and Forward Markets
Forwards
A Forward Contract
An agreement between two parties whereby one
contracts to deliver an asset to the other for a
specified price known (forward price), on a
specified future date (delive
Chapter 19
Option Valuation
Option Values
Intrinsic value
profit that could be made if the option was
immediately exercised:
Call: IVC =
Put: IVP =
Time value
the difference between the option price and the
intrinsic value:
Call: C - IVC
Put: P - IVP
Call
Chapter 18
Options and other Derivatives:
Introduction
Option Definitions
A European Call Option
gives the holder the right to buy the underlying
security for a prescribed price (exercise/strike
price), on a prescribed date (expiry date)
A European Put Op
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 14: Managing Bond Portfolio
Chapter 13 Summary
Bonds Managing Bond Portfolio
Objective: To examine various strategies
available to fixed-income portfolio
managers.
Duration and Convexity
P
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 13: Term Structure of Interest Rates
Chapter 13 Summary
Term Structure of Interest Rates
Objective: To explore the pattern of interest
rates for different-term assets.
The term structure und
Theory of Finance I FINA 385
Summer 2015
LEC AA and, AB
Chapter 12: Bond Prices and Yields
Chapter 12 Summary
Bonds - Valuation
Objective:To review the principles of bond
pricing and to examine the determinants of
credit risk.
Bond Characteristics
Bond P
Chapter 9
Market Efficiency
The Efficient Market Hypothesis
Valuation is the process whereby an analyst
attempts to determine whether or not a stock is
properly priced;
Let P denote the market price of a particular
security and V denote its (fair) value
Chapter 9
Market Efficiency
The Efficient Market Hypothesis
Valuation is the process whereby an analyst
attempts to determine whether or not a stock is
properly priced;
Let P denote the market price of a particular
security and V denote its (fair) value
Chapter 8
Index Models and the
Arbitrage Pricing Theory
Shortfalls of the Mean-variance
theory & CAPM
The estimation procedure is a formidable task.
Security analysis for n assets, involves
estimating:
n expected returns,
n variances terms
n(n-1)/2 covari
Concordia University
Dr. Rahul Ravi
John Molson School of Business Summer 2015
FINA 385 Finance Theory I
Assignment 2
IMPORTANT
Assignments MUST be completed in groups of minimum two and maximum four
students. Each group must submit only one copy
You wi
Concordia University
John Molson School of Business
Dr. Rahul Ravi
Summer 2015
Finance 385 INVESTMENTS Theory
Solution to Assignment 1
Note: all intermediate calculations in the solution to this assignment are not
rounded, as required in the instructions
UNIVERSITY
Dr.
School of Business
Department of Finance
20
3
- INVESTMENTS
Assignment 1
IMPORTANT
The solution of this assignment must agree with your class notes in terms of notations and
methodology.
Final dollar answer should be rounded to two decima
VI. FixedIncome Securities
Default is more likely for corporate bonds. The cash ow becomes uncertain
when default is possible.
1. Bonds and Their Pricing
Question: Suppose that a bond is defaultfree, is it still risky?
A xedincome (bond) security is a c
VII. Derivatives
In the following two chapters we will study derivatives. Derivative is a contract
written on an asset which can be another security or commodity.
There are many types of derivatives. In the following two chapters we will study
futures c
IV. Factor Models and Arbitrage Pricing Theory
1. Introduction
CAPM prices securities by using a general equilibrium approach
Securities can also be priced using the condition of absence of arbitrage in an
ecient market (the noarbitrage approach)
Arbit
Lecture Notes on Investments
Professor S. Isaenko
Concordia University
I. Optimization, Risk, and Risk Aversion
1. Derivatives and Optimization
Derivatives:
Derivative of a power function
(xa ) = axa1 ,
where a is a number
Chain rule
(f [g(x)]) = f [g(
23/09/2016
FINA 385
Part Two
Chapter 6: Sections 6.1 to 6.5
1
FINA 385- Section E- F2016- Session 3 and 4 - Ch6
Agenda
Introduction
Diversification and Portfolio Risk
Portfolios of Two Risky Assets
Optimal Asset Allocation between Two Risky Assets
Optimal
18/09/2016
FINA 385
Ch. 5
Risk Aversion and Capital Allocation to
Risky Assets
FINA 385- Section E- F2016- Session2- Ch5
1
Agenda
2
Introduction
Risk and Reward
Risk and Risk Aversion
Capital Allocation Across Risky and Risk-Free Portfolios
Capital Alloca
FINA 385
Instructor:
Office:
E-mail:
Office Hours:
Class Time:
Classroom:
Theory of Finance I
Section E
Fall 2016
Nada El
El-Hassan
MB 12
12-280/ 12-282 (Finance part-timers)
Nada.elhassan
Nada.elhassan@concordia.ca
Monday
Mondays 14:00-16:00 mainly by ap