Caia stuvia - Study guides, Class notes & Summaries

An asset-pricing model that attempts to explain how investors should behave is a(n): - ANSWER-normative model. Normative models attempt to explain how investors should behave. Positive models attempt to explain how investors do behave. Theoretical models use assumptions and logic, while empirical models are based on historically observed behavior. Henry Thompson examines a sample of returns for a private equity fund and finds that the sample excess kurtosis equals 3. Regarding the private ...

4 types of alternative assets - ANSWER-Alternatives are defined by inclusion: Real Assets Hedge Funds Private Equity Structred products Real Assets - ANSWER-Direct ownership of non financial assets: - natural resources - commodities - real estate - land - infrastructure - IP (intellectual property) 5 Structures of Alternatives - ANSWER-TRICS: - trading - marked by high skill & complex strategy (hedge fund) - regulatory - marked by lower government regulation and taxation ( - i...

Intuition of the Black-Derman-Toy interest rate model - ANSWER-Observed spot rates drive rate levels while implied rate volatilities drive rate spreads Understanding the intuition of imposing these two conditions helps in understanding the essence of the BDT model. The spot rates in the currently observed term structure drive the overall levels of the rates that are projected throughout the binomial tree. The implied volatilities of options trading on short‐term rates (i.e., interest rate c...

Collar strategy consists of... - Answer ownership of a risky asset with a long position in a put option on the underlying asset, and a short position in the call option on the underlying asset Hedging Bucket - Answer within a plan's asset-liability framework seeks to track the plan's liabilities and minimize the volatility of the plan surplus Overlay approach - Answer relies on derivatives contracts to create hedges growth bucket - Answer invests the surplus in riskier investments to ...

CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statistical Foundations with Accurate Solutions! CAIA Level 1 - Chapter 4: Statis...

CAIA Level 1 Practice Questions and Answers 100% AccurateCAIA Level 1 Practice Questions and Answers 100% AccurateCAIA Level 1 Practice Questions and Answers 100% Accurate Which of the following investments is most likely to be considered an institutional quality alternative investment? A. Vintage Wine Collection B. Long/Short Equity Hedge Fund C. High-Yield Corporate Bond Fund D. Small Cap Equity Index Fund - ANSWER-B. Institutional-quality alternative investments exhibit risk and return c...

CAIA - Chapter 6 Questions and Answers 100% CorrectCAIA - Chapter 6 Questions and Answers 100% CorrectCAIA - Chapter 6 Questions and Answers 100% CorrectCAIA - Chapter 6 Questions and Answers 100% CorrectCAIA - Chapter 6 Questions and Answers 100% Correct Jane studies past prices and volume of trading in major public equities and establishes equity market neutral positions based on her forecasts of prices. Jane consistently outperforms market indices of comparable risk. Does Jane's investmen...

CAIA Level 1 - Chapter 12: : Commodities: Applications and Evidence with Complete Solutions CAIA Level 1 - Chapter 12: : Commodities: Applications and Evidence with Complete Solutions CAIA Level 1 - Chapter 12: : Commodities: Applications and Evidence with Complete Solutions Inflation - ANSWER-- a quantitative measure of the rate at which the average price level of a basket of selected goods and services in an economy increases over a period of time.

In CAPM model how is beta specified? - ANSWER-Beta is specified as the covariance of the asset's return with the return of the market portfolio, divided by the variance of the returns of the market portfolio What is the general interpretation outside the CAPM? - ANSWER-Beta refers to the a measure of risk, or the bearing the risk, wherein the underlying risk is systematic (shared by at least some other investments and usually unable to be diversified or fully hedged without cost) and is pote...

Primary economic role of structuring - ANSWER-Structured securities complete the market - structured to meet all different needs & helps investors prepare for all states of the world MBS - ANSWER-Mortgage-backed securities - security secured by pool of mortgages (mortgages are the collateral) RMBS - Agency RMBS - ANSWER-Residential MBS - low credit risk: backed by the US government - has prepayment risk: borrower' s right to repay mortgage early a key risk Contraction risk - ANSWER-Av...