Asset Allocation Course
Final Exam Group 2
Miquel Noguer i Alonso PhD
Instructions
1. You have 2 hours to do the exam.
2. There are 12 questions with a total of 100 points.
3. If there is something you think is missing, make a reasonable assumption
and cl
IEOR 4630 Asset Allocation
Midterm, Spring, 2013
Thursday, March 14th
Instructions:
1. You have 2 hours to do the exam.
2. There are 3 questions with a total of 300 points.
3. The parts of each question are in increasing level of diculty so make sure to r
IEOR 4630 Asset Allocation
Final Exam, Spring, 2013
Tuesday, May 14th
Instructions:
1. You have 2 hours and 45 minutes to do the exam.
2. There are 3 questions with a total of 300 points.
3. If there is something you think is missing, make a reasonable as
Asset Allocation Course
Final Exam Group 1
Miquel Noguer i Alonso PhD
Instructions
1. You have 2.50 hours to do the exam.
2. There are 11 questions with a total of 100 points.
3. If there is something you think is missing, make a reasonable assumption
and
Asset Allocation Course
Mid Term Exam 2014
Miquel Noguer i Alonso PhD
Section 1
EXAM
1 Discrete and Continuous processes
1. Consider the normal GARCH(1,1) model . 5 points
Which stylized facts of asset returns can be described by the simple GARCH(1,1)
and
Asset Allocation Course
Mid Term Exam 2014
Miquel Noguer i Alonso PhD
1 Discrete and Continuous processes
1. Consider the normal GARCH(1,1) model . 5 points
Which stylized facts of asset returns can be described by the simple GARCH(1,1)
and which cannot?
IEOR E4630
G. Iyengar
March 10, 2011
IEOR E4630 Midterm
Instructions :
180pts
1. You have 1 hour and 45 minutes to do the exam.
2. The exam is closed book and closed notes. You are allowed one both-sided 8.5 x 11 (US
letter) size cheat sheet.
3. Calculato
Asset Allocation Course
Mid Term Exam 2015
Miquel Noguer i Alonso PhD
Asset Allocation Mid Term Exam
100 points
12th march from 7.10 to 9.40 pm
Class notes and slides allowed
Note if you are under graduate, master or doctoral student
1 Statistics : Distri
Section 7
ASSET ALLOCATION MULTIVARIATE STATISTICS
Multivariate Statistics
1. Distribution taxonomy
2. Representations:
1.
2.
3.
4.
Probability Density Function
Cumulative Density Function
Quantiles
Scenarios and probabilities
3. - Spectral theorem / cova
Linear and non-linear factor models
The volatilities of stock returns
Rmy Chicheportiche
e
24 Feb. 2014
Linear Factor Model
Covariances matrix and portfolio variance risk
Risk of optimized portfolios
Toy model: 1 factor
Multi-factors model
Estimating the
ASSET ALLOCATION BACK 2 AA STEPS
Asset Allocation Steps
Section 4
ASSET ALLOCATION DISCRETE AND CONTINOUS
TIME PROCESSES
Section 4.1
ASSET ALLOCATION DISCRETE PROCESSES
Discrete and Continuous Processes in Finance
Time
Discrete Time
Continuous Time
Base C
Asset Allocation Course
Final Exam 2014
Miquel Noguer i Alonso PhD
Instructions
1. You have 2 hours and 30 mins to do the exam.
2. There are 5 sections with 12 questions - 100 points.
3. If there is something you think is missing, make a reasonable assump