CAS EC 445 Risk and Finance
Assignment 1
Due 9/23/16
1. Consider two risky assets, 1 and 2; with mean and risk as follows:
Asset
1
0:10 0:15
2
0:18 0:30
Suppose further that
12
= 0:10:
(a) Find the minimum variance portfolio.
(b) What is the expected retu
CAS EC 445 Risk and Finance
Assignment 1
Solution
1. Consider two risky assets, 1 and 2; with mean and risk as follows:
Asset
1
0:10 0:15
2
0:18 0:30
Suppose further that
12
= 0:10:
(a) Find the minimum variance portfolio.
(b) What is the expected return
CAS EC 445 Risk and Uncertainty/Financial Economics
Syllabus
Fall 2016
Course description
This is an advanced undergraduate course in nancial economics, with focus on investment
analysis and asset evaluation. The course is intended for students without pr
CAS EC 445 Risk and Finance
Assignment 2
Due 10/7/16
Solutions
1. Assume that the expected rate of return on the market portfolio M is M = 23% and
the rate of return on T-bills is rf = 7%. The standard deviation of the market is
M = 32%: Assume that the m
CAS EC 445 Risk and Finance
Assignment 3
1. (a) Consider the following portfolio allocation problem. An investor has initial wealth
w0 = 100: The investor allocates the amount x to stocks, which provide return
r = 0:30 in a good state that occurs with pro
CAS EC 445 Risk and Finance
Assignment 3
Solution
1. (a) Consider the following portfolio allocation problem. An investor has initial wealth
w0 = 100: The investor allocates the amount x to stocks, which provide return
r = 0:30 in a good state that occurs
CAS EC 445 Risk and Finance
Assignment 2
Due 10/7/16
1. Assume that the expected rate of return on the market portfolio M is M = 23% and
the rate of return on T-bills is rf = 7%. The standard deviation of the market is
M = 32%: Assume that the market port
CAS EC 445 Risk and Finance
Practice Midterm Exam
Fall 2016
I Please write your answers in the blue booklets provided
I Write your name on the blue book in pen
I Good luck!
1. (a) What are the underlying assumptions in Markowitzmodern portfolio theory and