Problem Set 1
Finance 411
Professor Mao Ye
Due on Wednesday, February 11, 2015 in class
Note: BKM refers to the Investment written by Bodie, Kane and Marcus, 10th edition
Problem 1 (30 points)
Chapter
Answer for Problem Set 1
FIN 411, Spring 2015
Professor Mao Ye
Problem 1:
Utility for each investment = E(r) 0.5 4 2
1.
We choose the investment with the highest utility value, Investment 3.
Expected
FIN 411
Due Date: September 15, 2015 (in class)
Solution to Problem Set 1
1. (7 Points) The following table describes the joint probability distribution of random
variables X and Y . The entries in th
Lecture 10
Empirical Evidence on
Security Returns
1
Two Topics, Two views
Twotopics
TestsofCAPM
FamaFrenchthreefactormodels
Twoviews
Rational
Behavioralview(nextclass)
2
The Index Model and the
Si
Answer for Problem Set 2
FIN 411, Spring 2015
Professor Mao Ye
Problem 1:
a.
The standard deviation of each individual stock is given by:
Since A = 0.8, B = 1.2, (eA ) = 30%, (eB ) = 40%, and M = 22%,
Problem Set 2
Finance 511
Professor Mao Ye
Due on Monday, February 20, 2015
You can bring it to the class on February 18 or put it in my mail box in Wohlers 339
Problem 1 (20 points)
Chapter 8, Proble
Problem Set 4
Finance 411
Professor Mao Ye
Due on Monday, April 13, 2015 in class
Problem 1
CFA problem 1 at page 715 of BKM
Problem 2
Suppose that the risk free rate is 5% per year. We wish to value
Fin 411 Midterm Exam
Professor Mao Ye Spring 2015
SHOW YOUR WORK! There are 100 points; the exam should take 80 minutes.
Multiple Choices (48 points, 4 points each)
1. Consider the regression equation
Answer for Problem Set 2
2017
FIN 411, Spring 2015
Professor Mao Ye
Problem 1:
a.
The standard deviation of each individual stock is given by:
i
[
2
i
2
M
2
(e i )]1 / 2
Since A = 0.8, B = 1.2, (eA )
Problem Set 3
Finance 411
Professor Mao Ye
Question 1
a) The duration of the zero coupon bond should be 1.8583
b) Market Value = 11.57
Face Value = 13.76
Question 2
a) (1+y4 )4 = (1+ y3 )3 (1 + f 4 )
Lecture 16
Futures
1
Plan
Basics on futures
Spot-futures parity theorem
Single period
Multiple periods
Several types of futures
Foreign exchange future
Interest rate parity theorem
Index futures
I
Problem Set 1
Finance 411
Professor Mao Ye
Due on Wednesday, February 6, 2017 in class
Note: BKM refers to the Investment written by Bodie, Kane and Marcus, 10th edition
Problem 1 (25 points)
Chapter
Lecture 8
The Efficient Market Hypothesis
1
No Arbitrage: Three Levels
Two risk-free assets should have the same return
Two different risky portfolios with the same Beta
should have the same return
Tw
Lecture 6
The Capital Asset Pricing Model
Capital Asset Pricing Model (CAPM)
The equilibrium model that underlies all
modern financial theory
Derived using principles of diversification with
simplifie
Lecture 0
Icebreaker
Why I Chose to Teach This Course
Learning this course was one of the most
interesting things when I was a student!
Maybe you will say that its because my life as a
student was bor
Academic Finance and My Research
Mao Ye
University of Illinois at Urbana-Champaign
Outline
Research career in finance
How I become interested in supercomputing
My own research
High frequency tradi
Problem Set 2
Finance 411
Professor Mao Ye
Due on Wednesday, February 15, 2016
Problem 1 (20 points)
Chapter 8, Problem 6 at page 286 of BKM
Problem 2 (15 points)
Chapter 8, Problem 8 at page 286 of B
CAPM in Practice
FINANCE 411
Investment and Portfolio
Management
Dana Kiku
Fall 2016
1
CAPM in Practice
Overview
How to measure market risk:
regression analysis
implementation
How to test the CAPM
E
Lecture 11
The Term Structure of
Interest Rates
1
Announcement
GuestLecture
April20
InputyourtradesafterTuesdayMarch10,3pmandbefore
WednesdayMarch11th,3pm.
2
Bond Pricing in Fin 300
PB
T
C ParValue
Fin 411 Midterm Exam
Professor Mao Ye Spring 2013
SHOW YOUR WORK! There are 100 points; the exam should take 80 minutes.
Multiple Choices (40 points, 4 points each)
1. Based on the utility function ab
Mid-Term Answer Key
Multiple Choices (40 points, 4 points each)
1. Based on the utility function above, which investment would you select?
Investment
Expected Return E(r)
Standard Deviation
1
0.14
0.2
Lecture 14
Option Pricing I
Plan
Put-call parity
Restriction on option valuation
Binomial option pricing
Lots of pricing trees
Idea: arbitrage!
Plan
Put-call parity
Restriction on option valuat
Portfolio Choice and Diversification
FINANCE 411
Investment and Portfolio
Management
Dana Kiku
Fall 2015
1
Portfolio Choice
Overview
Question:
How to allocate your wealth optimally?
Mean-Variance por
Rates of Return
FINANCE 411
Investment and Portfolio
Management
Dana Kiku
Fall 2015
1
Rates of Return
Overview
Measuring returns
Components
Nominal and real
Characterizing returns
Population moment
Markets and Transactions
FINANCE 411
Investment and Portfolio
Management
Dana Kiku
Fall 2015
1
Markets and Transactions
Overview
Overview of Markets
Market Indices
Portfolio Construction
Types of Tra
Statistical Review
FINANCE 411
Investment and Portfolio
Management
Dana Kiku
Fall 2015
1
Statistical Review
Overview
Probability
Random Variables and Probability Distributions
Population Moments
Samp
Instructor:
Dana Kiku
FIN 411
Fall 2015
[email protected]
E-mail:
Oce Hours: Thursday 3:30pm-4:30pm
470E Wohlers Hall
Location:
Course
WebPage:
https:/compass2g.illinois.edu
Investment and Portfolio Ma
Problem Set 3
Finance 411
Professor Mao Ye
Due on Wedesday, April 1st, 2015 in class
Problem 1
Problem 9 at BKM 10th edition, page 547
Problem 2
CFA problem 3 at BKM 10th edition, page 510.
Problem 3