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
II. Portfolio Selection
1. Introduction
Our goal in this topic is to nd the best portfolio that if feasible for an investor
We will follow a topdown analysis of portfolio construction:
Capital allo
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 envir
VI. 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.
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
Print Last Name:
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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
includ
Quiz 1 Solutions
FINA 385!
!
Fall 2014
Gregory Lypny
Part 1
Two-stock portfolios
In-Sample Portfolio Frontiers
E(Rp )
0.021
M
0.0134
0.0059
F
0.038
0.077
p
0.107
Minimum-Variance Frontier
Capital Mark
Print Last Name:
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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
INSTRUCTO
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
PROBLEM 1 (50 MARKS)
NOTE THAT PROBLEM 1 CONSISTS OF 20 SEPARATE MULTIPLE-CHOICE
QUESTIONS. BE SURE TO MARK YOUR RESPONSES ON THE COMPUTER
ANSWER SHEET; ONLY THE RESPONSES ON THIS SHEET WILL BE GRADED
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
PRI
Finance Theory I
COURSE OUTLINE
FI NA
385 E W INT ER 2015
Gregory Lypny
[email protected] pareto.concordia.ca
MB 11.307 (514) 848-2424 ext. 2794
Lecture every Tuesday, 8:45 a.m. to 11:30 a.m.
COMM 217 Financial Accounting, Fall 2011
Section C/D, Instructor Li YAO
Take-Home Assignment
This assignment is due on Oct 11, 2011 (Tuesday). Please hand in this assignment either
after class or duri
JOHN MOLSON SCHOOL OF BUSINESS
CONCORDIA UNIVERSITY
FINA 385 THEORY OF FINANCE I
Course Outline-Fall 2014
Professor:
Office:
Telephone:
E-mail:
Office Hours:
Grade Marker:
Sergey Isaenko
MB 12-309
279
Chapter 14:
managing
bond
portfolios
Bond-pricing relationships
an increase in a bonds yield to
maturity results in a smaller price
decline than the gain associated
with a decrease in yield (asymmetr
Chapter 10-11:
bonds
Five rates
holding period return
effective annual yield (EAR)
bond equivalent
(one mistake: no compounding)
money market (two mistakes: no
compounding, 360 days)
bank discoun
Chapter 9:
stock price
behavior and
market efficiency
Why study market
efficiency?
- markets are efficient when price =
value, where price incorporates new
information about the stock. If price
= valu
Chapter 5: capital
allocation
1
quadratic utility function U = E(r) - A2 ,
2
where A is coefficient of risk aversion
certainty equivalent rate = rate risk-free investments
need to offer to be consider
Chapter 18:
options
Option basics
two basic option types
call - options to buy
put - options to sell
listed option contracts are
standardized; 100 shares of stock
both European-style and American
Chapter 8:
arbitrage pricing
theory
Modern portfolio theorys (MPT)
insights:
- priced risk is compensated for
- correlation of less than 1 leads to
portfolio diversification
APT: more than one systema
Solutions of Additional Practice problems
Topic I
Find the derivatives of the functions in the questions 1, 2, and 3 below
1. y(x) = 5x2
Solution: y (x) = 5 2 x = 10x
2. y(x) =
x
Solution: y (x) = (x0
Concordia University
John Molson School of Business
Finance Department
F I NA N C E T H E O R Y I
FINA 385 Sections A & E
Course Outline, Fall 2017
This is the first of two intermediate courses on fin
Alexandra Rudy 27546157
Cristina De Lauri 27455070
Homework 1 FINA 385
CAPM Regression
Beta estimate of CAPM = -0.001223604
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
O
ANSWER KEY
class handout chapter 14
Q-1. Use formula below to estimate approximate modified duration and
convexity for bond with the following characteristics:
price = 100
coupon rate = 4% (semi-annua
ANSWER KEY
class handout chapter 8
Q-1. You run a regression model and find that stocks of firms with .com
tag outperform the market.
Part A. This is an example of:
A. macroeconomic factor model
B. fu
Chapter 13:
term
structure
Bank of Canada bonds
Effect primarily on short-term
interest rates
Treasury yield curves
inverted: January 1990
flat: December 2000
normal: April 2008
Source: Bank of Canada
Chapter 6:
optimal risky portfolio
Two-security portfolio
RP wD RD wE RE
wD D wE E 2wD wECov(rD ,rE )
2
p
2
cov(rD ,rE )
2
2
2
DEBT, EQUITY
DEBT
EQUITY
3- 2
Covariance vs correlation
covariance
corre
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 arbitrag
V. FixedIncome Securities
1. Bonds and Their Pricing
A xedincome (bond) security is a claim on specied periodic stream of income
A bond is easier to analyze than a stock since the level of payments
VI. Options
In the next sections we will study different types of options and their pricing
Option is a special case of derivatives (contingent claims) which are the securities
whose prices are dete
III. The Capital Asset Pricing Model
In the previous chapter we studied portfolio selection problem in the partial
equilibrium framework. This framework assumes that all expected returns are
known
N
PROBLEM 1 (50 MARKS)
NOTE THAT PROBLEM 1 CONSISTS OF 20 SEPARATE MULTIPLE-CHOICE
QUESTIONS. BE SURE TO MARK YOUR RESPONSES ON THE COMPUTER
ANSWER SHEET; ONLY THE RESPONSES ON THIS SHEET WILL BE GRADED