Exercise Sheet 4
Exercise 1
The table provides data on the return and standard deviation for dierent
compositions of a two-asset portfolio. Plot the data to obtain the portfolio
frontier. Where is the minimum variance portfolio located?
X
rp
p
0
.08
.5
.1
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Chapter 16
Chapter 16
Technical Analysis
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fundame
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Chapter 15
Chapter 15 - Company
Analysis and Stock Valuation
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Chapter 14
Chapter 14
Industry Analysis
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al
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Chapter 13
Chapter 13
Stock Market Analysis
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divid
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Chapter 12
Chapter 12 Macroeconomic and
Market Analysis: The Global
Asset Allocation Decision
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Chapter 11
Chapter 11 - An Introduction
to Security Valuation
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Chapter 10
Chapter 10
Analysis of Financial Statements
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Chapter 9
Chapter 9 Multifactor Models of
Risk and Return
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Chapter 8
Chapter 8 - An Introduction to
Asset Pricing Models
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Chapter 7
Chapter 7 - An Introduction to
Portfolio Management
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Chapter 6
Chapter 6
Efficient Capital Markets
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Chapter 5
Chapter 5
Security-Market Indicator Series
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Chapter 4
Chapter 4
Organization and Functioning of
Securities Markets
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Chapter 3 - Selecting
Investments in a Global
Market
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Chapter 2
The Asset Allocation Decision
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Chapter 1
The Investment Setting
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H
Exercise 9
Exercise 1. Consider two call options on the same underlying stock.
Option 1 has an exercise price of $60 and sells for $6 while option 2 has
an exercise price of $55 and sells for $5. Assuming they have the same
expiration date, calculate the
Exercise Sheet 7
Exercise 1
Assume there are two stocks, A and B , with A = 1:4 and B = 0:8. Assume
also that the CAPM model applies.
(i) If the mean return on the market portfolio is 10% and the risk-free rate
of return is 5%, calculate the mean return o
Exercise Sheet 6
Exercise 1
You manage a portfolio of 50 assets and wish to calculate the e cient frontier. If you decide that a sample of 30 observations is required to calculate each
variance and covariance, how many data points do you need in total?
So
Exercise Sheet 5
Exercise 5.1
If there are three possible future wealth levels, which occur with equal probability, and utility is given by the square root of wealth, what is the expected
utility function?
Solution 5.1
The three wealth levels are denoted
Exercise Sheet 3
Exercise 3.1
The following prices are observed for the stock of Fox Entertainment Group
Inc.
Date
Price
June 00
26.38
June 01
28.05
June 02
25.15
June 03
28.60
No dividend was paid. Calculate the mean return and variance of Fox stock.
Sol
Exercise Sheet 2
Exercise 2.1
A margin account is used to buy 200 shares on margin at $35 per share.
$2000 is borrowed from the broker to complete the purchase. Determine the
actual margin:
a. When the purchase is made;
b. If the price of the stock rises
Exercise Sheet 1
Exercies 1.1
Use the monthly data on historical prices in Yahoo to plot the share price
of LloydsTSB over the past year. If you had invested 10,000 in LloydsTSB in
October 2007 what would it be worth now?
Solution 1.1
1
1
1
1
3
October
Oc
Econbrowser
Analysis of current economic conditions and policy
What Are the Prospects for a Two Recession Bush Presidency? | Main | How low
will Ben go?
January 11, 2008
Mortgage securitization
I thought it might be helpful to summarize some of the back
Investment Analysis and
Portfolio Management
Lecture 11
Gareth Myles
Introduction
This
revision lecture will talk about the 2010
exam paper
The important points about the questions will
be discussed
The usual mistakes will be noted
Question 1
(i) Descr
Investment Analysis and
Portfolio Management
Lecture 10
Gareth Myles
Announcements
There
will be a final lecture on Thursday 17
December
This will cover the solutions to Exercises 7, 8,
and 9
There will be another class after Christmas to
discuss the C
Investment Analysis and
Portfolio Management
Lecture 7
Gareth Myles
The Capital Asset Pricing Model
(CAPM)
The
CAPM is a model of equilibrium in
the market for securities.
Previous lectures have addressed the
question of how investors should choose
asse
Investment Analysis and
Portfolio Management
Lecture 6
Gareth Myles
The Single-Index Model
Efficient
frontier
Shows
achievable risk/return combinations
Permits selection of assets
Can
be constructed for any number of
assets
Given
expected returns, va