Project 2 (Due Date: 11:50pm, Nov 21, 2014, Friday)
Instruction: I only want one copy of your work from each group. No more than 4 people in a
work group. Please remember to write down the name and UID of everyone in the group. All the
answers are relativ
FINA2802/2320 Tutorial 9
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA2802/2320D INVESTMENTS AND PORTFOLIO ANALYSIS
FIRST SEMESTER, 2013-2014
Tutorial 9 Chapter 9 & 10 CAPM and APT
Question 1
Consider the following table, which gives
Problem 1
Asset
A
2
81
9
Expected Return
Variance
Standard Deviation
B
10
400
20
<-adjust
<-adjust
Correlation =
-1.00
W(a)
0.69
Variance
Standard Deviation
Expected Value
W(b)
0.31
0.00
0.0
4.5
(2) Then adjust the bar for W(a) and the bar for
Correlation
Assignment#3
1. Which of the following functions do investment companies perform for their investors?
A. Record keeping and administration
B. Diversification and divisibility
C. Professional management
D. Lower transaction costs
E. Record keeping and admi
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA2802/2320ABC INVESTMENTS AND PORTFOLIO ANALYSIS
FIRST SEMESTER, 2014-2015
Chapter 11 - Efficient Market Hypothesis
Question 1
An index model regression applied to past monthly returns in Ge
CHAPTER 12. MACROECONOMIC AND INDUSTRY ANALYSIS
CHAPTER 12. MACROECONOMIC AND INDUSTRY ANALYSIS
Both the Global Economy and the Domestic Macroeconomy affect financial markets.
In the sense of the Global Economy, exchange rates, political risks of the coun
Part II:
Portfolio Theory
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
c) Markowitz Portfolio Selection II
Optimal Risky Portfolios
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
The Investment Decision
Lectures on Derivatives
11: Credit Derivatives
Dragon Tang ()
The University of Hong Kong
E-mail: [email protected]
Phone: (+852) 22194321
Market News and Developments
2
2017/4/7: Record volume of interest rate swaps were cleared
through central counterparti
Lectures on Derivatives
10: Financial Engineering & Security Design
Dragon Tang ()
The University of Hong Kong
E-mail: [email protected]
Phone: (+852) 22194321
Market News and Developments
2
2017/3/29: Trafigura and Natixis test blockchain for
commodity trad
CHAPTER 2. GLOBAL FINANCIAL INSTRUMENTS
Major Classifications of Financial Assets or Securities
1. Money Markets
Money markets include short term, highly liquid, and relatively low-risk debt
instruments.
2. Capital Markets
Capital markets include longer-t
CHAPTER 9. BOND PRICES AND YIELDS
CHAPTER 9. BOND PRICES AND YIELDS
A Bond is a security that is issued in connection with a borrowing arrangement.
The borrower issues (sells) a bond to the lender for some amount of cash.
The bond is in essence the IOU of
FINA 425 FINANCIAL INVESTMENTS
CHAPTER 1. INVESTMENTS: BACKGROUND AND ISSUES
Investment is the current commitment of Money or other resources in the expectation of
reaping future benefits.
Investments lead to a reduction in current consumption patterns
On
CHAPTER 17. FUTURES MARKETS AND RISK MANAGEMENT
CHAPTER 17. FUTURES MARKETS AND RISK MANAGEMENT
Futures and forward contracts are like options in that they specify the purchase or sale of
some underlying security at some future date. The key difference is
CHAPTER 3. HOW SECURITIES ARE TRADED
CHAPTER 3. HOW SECURITIES ARE TRADED
When firms need to raise capital, they may issue securities to the public by investment
bankers.
Primary market is a market for new securities.
Secondary market is a market for alre
Lectures on Derivatives
9: Exotic Options
Dragon Tang ()
The University of Hong Kong
E-mail: [email protected]
Phone: (+852) 22194321
Market News and Developments
2
2017/3/22: The Securities Exchange Commission of Cambodia
(SECC) announced that it would susp
Part III:
Equilibrium in Capital Markets
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
c) Market Efficiency
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Efficient Market Hypothesis
Prices fully and ins
CCGL9024 Life and Death of Languages: Diversity, Identity and Globalization
Group Project & Individual Essay Guidelines
*READ THESE GUIDELINES THOROUGHLY BEFORE STARTING YOUR
WORK AND ALSO BEFORE SUBMITTING YOUR WORK.*
Assignments:
1. Group Project
Weight
Option payoff profile generator
amount /
units
First Call option
Second Call option
Third Call option
First Put option
Second Put option
1
-2
1
0
0
option
premium /
price of
underlying
asset
option strike
price
0.80
1.25
3.20
3.20
1.25
50.00
100.00
150.00
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA0301/2322D DERIVATIVES
SECOND SEMESTER, 2016-2017
Quiz 3 Solution
Question 1
Please describe the main factors that affect the value of an option.
When it increases
Time to maturity*
Volatil
STANDARD NORMAL DISTRIBUTION: Table Values Re I resent AREA tn the LEFT 61' the Z. more.
in
E
l
1.1
L?
L3
L4
1J5
L6
13
l
13
ha
gtttg
P
l
ti
00
.50000
.53933
.5?9?6
.61?91
.6554?
.69146
.?5?5
.?5304
.?3314
.31594
.34134
.36433
.33493
.906?0
.919?4
.93319
.
Lectures on Derivatives
12: Market Developments in China
Dragon Tang ()
The University of Hong Kong
E-mail: [email protected]
Phone: (+852) 22194321
Up and Downs of Chinese Derivatives
2
1980s/1990s: Early trading experience in Hong Kong
for Chinese banks on
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA0301/2322E DERIVATIVES
SECOND SEMESTER, 2016-2017
Quiz 3 Solution
Question 1
Please describe the main option relationships including put-call parity. Please list at least three. Do not
writ
THE UNIVERSITY OF HONG KONG
FACULTY OF BUSINESS AND ECONOMICS
FINA0301/2322DE DERIVATIVES
SECOND SEMESTER, 2016-2017
Quiz 4 Solution
Question 1
What possible tax advantage exists in equity-linked notes?
(Hint: You can explain your answer by considering th
Payoffs
Instrument
A
Call
Position
Long
X/FV
30.0
20
25.0
B
Long
20.0
20
15.0
C
Long
10.0
20
5.0
D
Long
0.0
0.0
-5.0
20
-10.0
Graph
Payoff All
-15.0
-20.0
-25.0
-30.0
Menus
Instrument X/FV
Position Graph
Page 1
5.0
10.0
15.0
20.0
25.0
Payoffs
Call
Put
Sto
Part IV:
Security and Portfolio Analysis
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
a) Equity Valuation
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Motivation
Fundamental analysis values tries to i
Part II:
Portfolio Theory
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
d) Index Models
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Motivation
Input list of Markowitz Model
The success of portfolio s
Part III:
Equilibrium in Capital Markets
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
b) Arbitrage Pricing Theory (APT)
and Multifactor Models
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Single Factor
Part III:
Equilibrium in Capital Markets
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
a) Capital Asset Pricing Model
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Motivation
So far we learned that unde
Part IV:
Security and Portfolio Analysis
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
b) Portfolio Performance
Evaluation
based on: INVESTMENTS (ASIA GLOBAL EDITION) | BODIE, KANE, MARCUS, JAIN
Introduction
Two common ways to m
