The Hong Kong University of Science and Technology
FINA 3104

Fall 2014
FINA 3104 Practice Problems
Index Models and APT
1. True or False (Briefly Explain)
(a) Over the past year, the realized return on stock A was 12% and on stock B was 10%. The
betas of A and B are 0.8
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
FINA 3104 Practice Problems
Fall 2012
FixedIncome Securities (Suggested Solution)
1. True or False
(a) A coupon bond that pays interest semiannually is selling at par value and has a coupon
rate of
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2011
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & R
The Hong Kong University of Science and Technology
FINA 3104

Fall 2014
FINA 3104 Practice Problems
Portfolio Analyses and the Markowitz Portfolio Selection Model
1. True or False (Briefly Explain)
(a) The efficient frontier includes the set of all possible optimal comple
The Hong Kong University of Science and Technology
FINA 3104

Fall 2014
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & R
The Hong Kong University of Science and Technology
FINA 3104

Fall 2014
FINA 3104 Practice Problems
The Capital Asset Pricing Model (CAPM)
1. True or False (Briefly Explain)
(a) If the CAPM holds, the return of a welldiversified portfolio with no diversifiable risk and
a
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
FINA3404InternationalFinanceHomework2
(Due October 17, 2014, 9:00 AM)
1. At the beginning of today, you purchased one futures contract at $1.30/. One contract
represents 125,000 . By the end of the da
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGE
ANSWERS & SOLUTIONS TO ENDOFCHAPTER QUESTIONS AND PROBLEMS
QUESTIONS
1. Explain the basic differences between the operation of a currency fonNard ma
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
The value of the 200 shares is
receive a margin call whe .
2001’ ~ $5,00
P. Equity is (200P — $5,0 . You will
"—" 0.30 x; when P a $35 or lower
In' '31 margin is 50% 0f$5,0
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
FINA 3104 Practice Problems
Fall 2012
The Efficient Market Hypothesis and Behavioral Finance (Suggested Solution)
1. True or False
(a) According to the efficient market hypothesis, if stock prices hav
The Hong Kong University of Science and Technology
FINA 3104

Fall 2014
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2014
Instructor: Prof. Darwin Choi
Homework Assignment 2 Testing the CAPM/ SingleIndex Mode
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Index Exercise
P0
Q0
P1
Q1
P2
Q2
A
90
100
95
100
95
100
B
50
200
45
200
45
200
C
100
200
110
200
55
400
Priceweighted index return
for the 1st period
Assume
initial divisor = 3.
Initial
value = 240
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Introduction
FINA 3104: Investment Analysis and
Portfolio Management
The Hong Kong University of
Science & Technology
Fei Ding
Investment
What
is an investment?
Why
make an investment?
How
to make
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Trading Securities
FINA 3104: Investment Analysis and
Portfolio Management
Hong Kong University of Science &
Technology
Fei Ding
Recap from Last Lecture
Classification Tree of Financial
Securities
Sec
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
FINA 3104 Practice Problems
Fall 2012
Index Models and APT
1. True or False (Briefly Explain)
(a) Over the past year, the realized return on stock A was 12% and on stock B was 10%. The
betas of A and
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
FINA 3104 Practice Problems
Fall 2012
Futures Markets (Suggested Solution)
1. True or False
(a) If a trader holding a long position in futures fails to meet the obligations of a futures
contract, the
The Hong Kong University of Science and Technology
FINA 3104

Fall 2012
FINA 3104 Practice Problems
Fall 2012
The Capital Asset Pricing Model (CAPM)
1. True or False (Briefly Explain)
(a) If the CAPM holds, the return of a welldiversified portfolio with no diversifiable
The Hong Kong University of Science and Technology
FINA 3104

Fall 2015
Hong Kong University of Science and Technology
October 19, 2015
Investment Analysis (FINA3104)
MidTerm Exam (Version 2)
Problem 1: Risk, Return and Optimal Allocations (20 points)
You have been given
The Hong Kong University of Science and Technology
FINA 3104

Fall 2015
Hong Kong University of Science and Technology
October 19, 2015
Investment Analysis (FINA3104)
MidTerm Exam (Version 1)
Problem 1: Risk Aversion (6 points)
The Risky Portfolio P has an excess return
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Obs.
Expected Return
Expected Risk
VarianceCovariance
Matrix
Correlation
Matrix
n
1
2
3
E(r)
s
S
r
Portfolios
a
b
c
Returns
r1(n)
r2(n)
Squared Deviations
Squared CrossDeviations
[r(n)E(r)]2
[ri(n)
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Forytobelessthan1.0(sothattheinvestorisalender),riskaversion(A)must
belargeenoughsuchthat:
y
E(rM ) rf
0.15 0.07
1 A
1.65
2
A M
0.222
Forytobegreaterthan1.0(sothattheinvestorisaborrower),riskaversio
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Learning about
Returns & Risk
FINA 3104: Investment Analysis and
Portfolio Management
Hong Kong University of Science &
Technology
Fei Ding
Recap from Last Lecture
Types of Stock Orders (Market & Limi
The Hong Kong University of Science and Technology
FINA 3104

Spring 2014
Securities
FINA 3104: Investment Analysis and
Portfolio Management
The Hong Kong University of
Science & Technology
Fei Ding
Recap from Last Lecture
Role of financial markets in bridging surplus secto