Ec 173A
Ec 173A FINANCIAL MARKETS
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Homework - EPF
LECTURE
NOTES
14:23:09
Foster, UCSD
Homework Efficient Portfolio Frontier with EXCEL1
Preliminaries
You will trace out the Efficient Portfolio Frontier for portfolios of N = 3 assets. This EPF i
Ec 173AFINANCIAL MARKETS
Foster, UCSD, Friday, DEC 9, 2011, 8-11 am
FINAL EXAM ANSWER KEY (Version b = DEC 9)
Pr 1
Pr 2
Pr 3
Pr 4
_
_
_
_
_
_
_
_
M-C
80
65
20
45
90
/300
Open book/calculator. Put final answers in space provided and SHOW WORK WHERE REQUEST
Ec 173A
OLD EXAMS
p. 1 of 10
SAMPLE EC 173A EXAM QUESTIONS
We will not discuss these exam questions or the answers. You can see my exam format and get some idea
of the range of possible questions.
Not all of the problems from the original tests are repeat
Economics 173 Corporate Finance Prof. Garey Ramey Problem Set 2
Winter 2006-07
Problem 2.1. Calculate the cost in PV terms of the following equipment purchases. In each case assume the tax rate is 35%. a. Original cost of $125,000, depreciated str
Computer Instructions
Economics ALL COURSES
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EXCEL
EXCEL
INSTRUCTIONS
1/29/14
Foster, UCSD
PART I - BASICS (IN, OUT, & WORKBOOKS)
Notation
Convention
boldface
SMALL CAPITALS
Italics
,
,
<Ctrl-Shft-Enter>
Meaning
What you enter (type) from ke
Chapter 10
Portfolio Choice Theory I
115
116
CHAPTER 10. PORTFOLIO CHOICE THEORY I
In this part of the course, we address the problem of optimal portfolio choice.
The modern theory of how to invest, originally developed by Harry Markowitz
http:/rady.ucsd.
Chapter 9
Options IV
97
98
CHAPTER 9. OPTIONS IV
In this chapter we derive one of the most important results in nance, called
fundamental pricing theorem. We also introduce the Black and Scholes formula
for European option prices.
In previous chapters we
copyright @ Ivana Komunjer
Econ 173A
ECONOMICS
Math Quiz (7 questions, 30 min)
Major:
Question 1. Let X1 and X2 be two random variables. Give the denition of the
covariance of X1 and X2 . If the covariance is zero, are X1 and X2 independent?
Question 2. W
Chapter 11
Portfolio Choice Theory II
125
126
CHAPTER 11. PORTFOLIO CHOICE THEORY II
We hereafter focus on portfolios P (or linear combinations) of N individual
securities S1 , ., SN where N can be some large number (think for example of all
the stocks qu
Chapter 12
Portfolio Choice Theory III
135
136
CHAPTER 12. PORTFOLIO CHOICE THEORY III
In this chapter we set up the optimal portfolio choice problem in mathematical
terms and derive its solution. First, we need some notations and denitions.
12.1
Setup
As
Chapter 6
Options I
67
68
CHAPTER 6. OPTIONS I
Up until now, we were dealing with nancial assets whose future payoffs were
certain, both in their timing as well as in the amounts they would pay. The focus
from now on shall be on assets that are risky. Tha
Econ 173A: Financial Markets1
Ivana Komunjer
2014
1
c 2014 by Ivana Komunjer. For use only by Econ 173A students at UCSD in 2014.
These notes are not to be distributed elsewhere.
ii
Copyright
All material in this course is, unless otherwise stated, the pr
Chapter 4
Fixed Income - An Application
47
48
CHAPTER 4. FIXED INCOME - AN APPLICATION
In this chapter we shall use previously dened zero-rates to construct the so
called term structure of interest rates or yield curve. We shall further analyze what
can b
Chapter 5
Fixed Income II
59
60
CHAPTER 5. FIXED INCOME II
In this chapter, we shall study the effect of an interest rate change on prices
of bonds. This question is particularly important if one wishes to understand how
changes in the federal funds rate
Chapter 2
Financial Instruments
15
16
CHAPTER 2. FINANCIAL INSTRUMENTS
In this chapter we introduce different types of nancial securities and the markets in which they trade. There are two big types of markets: (1) money markets,
in which we shall nd shor
Chapter 3
Fixed Income I
37
38
CHAPTER 3. FIXED INCOME I
In this chapter, we shall dene interest rates and discuss how compounding/discounting is done. In particular, we shall try and understand how exactly
interest rates are measured. There are two types
Professor Ivana Komunjer
ECONOMICS
FALL 2014
Econ 173A
Econ 173A: Financial Markets (sections A and B)
Ted course page:
http:/ted.ucsd.edu
Class Time:
Section A:
Section B:
Tuesday/Thursday,
Tuesday/Thursday,
12:30 PM - 1:50 PM in CSB 001
2:00 PM - 3:20 P
Chapter 7
Options II
75
76
CHAPTER 7. OPTIONS II
In this chapter we shall apply the absence of arbitrage opportunities arguments
to options. Let us start with an overview of what options are.
Options (together with futures contracts considered in the prev
Chapter 8
Options III
87
88
CHAPTER 8. OPTIONS III
In this chapter we introduce a simple stylized model representing (possibly
random) future payoffs of nancial assets: model that we call a binomial tree.
We also dene risk neutral (state price) probabilit
Chapter 13: Portfolio Choice An Application (Part 2)
Econ 173A Fall 2014
UCSD
copyright c Ivana Komunjer
Econ 173A Fall 2014 (UCSD)
Chapter 13: Portfolio Choice An Application (Part 2)
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1 / 11
In this chapter we illustrate the pr
Chapter 11: Portfolio Choice Theory II
Econ 173A Fall 2014
UCSD
copyright c Ivana Komunjer
Econ 173A Fall 2014 (UCSD)
Chapter 11: Portfolio Choice Theory II
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In this chapter we introduce the problem of optimal portfolio ch
Chapter 10: Portfolio Choice Theory I
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 10: Portfolio Choice Theory I
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In this chapter we introduce the concepts of risk and return for i
Chapter 9: Options IV
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 9: Options IV
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In this chapter we derive one of the most important results in nance, called
fundamental pricing t
Chapter 12: Portfolio Choice An Application (Part 1)
Econ 173A Fall 2014
UCSD
copyright c Ivana Komunjer
Econ 173A Fall 2014 (UCSD)
Chapter 12: Portfolio Choice An Application (Part 1)
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In this chapter we illustrate the probl
Chapter 8: Options III
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 8: Options III
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In this chapter we introduce binomial trees as a natural way of representing
(possibly random) f
Chapter 6: Options I
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 6: Options I
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In this chapter we consider the valuation of assets with future cash-ows and
introduce an important
Chapter 5: Fixed Income II
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 5: Fixed Income II
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In this chapter we introduce new concepts called duration and convexity. The
material co
Chapter 4: Fixed Income - An Application
Econ 173A Fall 2014
UCSD
copyright c Ivana Komunjer
Econ 173A Fall 2014 (UCSD)
Chapter 4: Fixed Income - An Application
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In this chapter we recall some of our results on zero-rates
Chapter 3: Fixed Income I
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 3: Fixed Income I
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In this chapter we dene interest rates, compounding/discounting and bonds
yield to maturit
Chapter 1: Introduction to the nancial environment
Econ 173A Fall 2014
UCSD
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Econ 173A Fall 2014 (UCSD)
Chapter 1: Introduction to the nancial environment
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In this introductory chapter we provide