ACTSC 232 - Spring 2012 - Assignment 1
Due: Friday, May 25 at 11:30 am
2
1. The function 1900090xx has been proposed for the survival function S0 (x) for a
19000
mortality model.
(a) What is the implied limiting age ?
(b) Verify that S0 (x) satises the 3
ACTSC 232 - Spring 2012 - Assignment 3
Due: Wednesday, July 25 at 11:30 am
1. Suppose that Makehams law applies with A = 0.001, B = 0.0007 and c = 1.082.
Assume also that the eective rate of interest is 2% per year, and = 120.
(a) Use Excel (your spreadsh
MeanVarianceOptimization
Outline
Types of Securities
Return Statistics and their Estimation
Formulation of the Mean-Variance Problem
Solution of the Mean-Variance Problem
Inclusion of Risk-Free Borrowing/Lending
The Mutual Fund Principle (Separation
Theor
ACTSC 372 - Corporate Finance 2
Assignment 1 Due Thursday January 31 3:30 pm
in the drop boxes outside MC 4066
Question 1: Assume we have for two securities, A and B , A = 5%, B =
8%, A = 10%, B = 15%, AB = 40%.
(a) Find the minimum variance portfolio. Wh
71W 5%
ACTSC 372 Assignment #4
Due Monday April 8th at 10am in the drop boxes
I. In this question, we will explore the irrelevance of dividend policy. Suppose XYZ
Inc currently has 1 million shares outstanding, and XYZ expects to make $1 million
pe
ACTSC 372 Assignment #4
Due Monday April 8th at 10am in the drop boxes
1. In this question, we will explore the irrelevance of dividend policy. Suppose XYZ
Inc currently has 1 million shares outstanding, and XYZ expects to make $1 million
per year in perp
76M 2%
ACTSC 372 - Corporate Finance 2
Assignment 1 Due Thursday January 31 3:30 pm
in the drop boxes outside MC 4066
Question 1: Assume we have for two securities, A and B, ,uA = 5%, MB =
8%,0A = 10%,03 = 15%,pAB =
(a) Find the minimum variance
78M 7994
ACTSC 372 Corporate Finance 2
Assignment #2 Due Thuesday February 28th at noon
In the DROP BOXES
Question 1: Assume we believe securities follow a 2 factor APT model, i.e. assume for an asset
X we have
RX = 5% + 0.5001 Ej 1.5(F2 E') + e
ACTSC 372 Corporate Finance 2
Assignment #2 Due Thuesday February 28th at noon
In the DROP BOXES
Question 1: Assume we believe securities follow a 2 factor APT model, i.e. assume for an asset
we have
= 5% + 0.5(1 1.5(2 2 ) +
1 )
Where represents the fa
ACTSC 372 Assignment #3
Due March 14th at noon in the drop boxes
Question 1: Prove that = 0 + (0 )(1 ). Where is the levered equity beta, 0
is the unlevered equity beta, is the beta of debt. Show that when debt is riskless, we get the
(1 )
expression = 1