Review Sheet for Exam 2
Basic information Chapters o 6(only on the material used in the application of optimal portfolios), 7, 8 o Application of optimal portfolios. Background information on matrix and matrix operations. The concepts used in the
Examples Normal Distribution and VaR
If the return on an asset follows normal distribution, with a mean of 16%, and a standard deviation of 25%, what is the probability of return being less than 10% over the next year?
Examples Normal Distribut
Review Sheet for Exam 1
Basic information Exams will be held in classroom during regular class time. You will need a brown scantron for the exam. There is a requirement for the calculator used in the exam, as indicated in the course syllabus. o S
Chapter 8 Answer Key: Problem Sets: 5-12 CFA Problems: 2 & 5
Problem Sets: 5. a. To optimize this portfolio one would need: n = 60 estimates of means n = 60 estimates of variances n2 - n = 1,770 estimates of covariances 2 Therefore, in total: b. n 2 + 3n
FIN 4514 Chapter 1 Homework
1. The basic trade-off in the investment process is
between the anticipated rate of return for a given investment instrument and its degree of
between understanding the nature of a particular investment and having t
FIN 4514 Week 2 Homework
1. The current outlay of money to guard against a potentially large future loss is commonly known as
a. Asset management.
b. Portfolio management.
c. Minimizing risk.
d. Loss control.
2. In an in
1. Which of the following would be inconsistent with an efficient market?
a. Information arrives randomly and independently.
b. Stock prices adjust rapidly to new information.
c. Price changes are independent.
d. Price changes are random.
CHAPTER 4ORGANIZATION AND FUNCTIONING OF SECURITIES
1. Which of the following is not a characteristic of a good market for goods and services?
a. Timely and accurate information
c. Low transaction costs
d. External efficiency
e. All o
Chapter 7 Answer Key: Problem Sets: 4-10 & 17-19 CFA Problems: 4, 5, & 7-11
Problem Sets: 4. The parameters of the opportunity set are: E(rS) = 20%, E(rB) = 12%, S = 30%, B = 15%, From the standard deviations and the correlation coefficient we generate th
Chapter 5 Answer Key: Problem Sets: 6, 13, & 16 CFA Problems: 1, 2, 3, 4, & 5
Problem Sets: 6. a. The "Inflation-Plus" CD is the safer investment because it guarantees the purchasing power of the investment. Using the approximation that the real rate equa
Chapter 3 Answer Key: Problem Sets: 11, 12, & 16 Problem Sets: 11. The total cost of the purchase is: $40 500 = $20,000 You borrow $5,000 from your broker, and invest $15,000 of your own funds. Your margin account starts out with equity of $15,000. a. (i)
Chapter 2 Answer Key: CFA Problems: 2 & 3 Problem Sets: 9 & 10 CFA Problems: 2) The equivalent taxable yield is: 6.75% / (1 - 0.34) = 10.23% 3) (a) Writing a call entails unlimited potential losses as the stock price rises.
Problem Sets: 9) a. At t = 0, t
AIA Post Mortem Group Analysis
August 31, 2015
Brown Shoe (BWS)
Brown Shoe is predicted to outperform competitors through increased marketing,
implementation of new IT systems, and performance