Tangency portfolio - Samenvattingen, Aantekeningen en Examens

INV4801 ASSIGNMENT 01: 2024 UNIQUE NO: 301901 DUE DATE: 31 MAY 2024 QUESTION 1: a) Formulate MAF’s return objective for next year. Show your calculations. (4) b) Explain why the multiplicative approach to calculating the return objective is more precise than the additive approach in a multi-period set up. (2) c) Within the context of asset allocation, discuss the investment constraints that MAF is facing. Using not more than 5 asset classes, advice on the most appropriat...

Investment Analysis Samenvatting, Master Finance, Tilburg University

You plotted the monthly rate of return for two securities against time for the past 48 months. If the pattern of the movements of these two sets of returns rose and fell together the majority, but not all, of the time, then the securities have Ans- a strong positive correlation If a stock portfolio is well diversified, then the portfolio variance Ans- may be less than the variance of the least risky stock in the portfolio The combination of the efficient set of portfolios with a riskle...

You plotted the monthly rate of return for two securities against time for the past 48 months. If the pattern of the movements of these two sets of returns rose and fell together the majority, but not all, of the time, then the securities have - a strong positive correlation If a stock portfolio is well diversified, then the portfolio variance - may be less than the variance of the least risky stock in the portfolio The combination of the efficient set of portfolios with a riskless lendi...

CFA Level 1 - 101 Must Knows 368 Questions with Verified Answers Addition Rule of Probability - CORRECT ANSWER ADDITION: P(A or B) = P(A) + P(B) - P(AB) Roy's Safety First Criterion - CORRECT ANSWER Safety First Ratio = (E(R) - Rₜ) / σ Larger ratio is better If (Rₜ) is risk free rate, then it becomes Sharpe Ratio Sharpe Ratio - CORRECT ANSWER Sharpe Ratio = (E(R) - RFR) / σ Larger ratio is better If (Rt) is higher than RFR, then it becomes Safety First Ratio Centra...

Finance 4020 Howald exam review 2023 with complete solution As diversification increases, the unsystematic risk of a portfolio approaches A) infinity B) 1 C) (n-1) x n D) 0 - D A single-index model uses ____________ as a proxy for the systematic risk factor. A) a market index, such as the S&P 500 B) the current account deficit C) the unemployment rate D) the growth rate in GNP - A In a factor model, the return on a stock in a particular period will be related to A) macroecono...

Portfolio Theory: Market Portfolio and CAPM question with complete solution 2023Market portfolio - correct answer the portfolio of all stocks held in proportion to their market weight, vi Market Capitalization - correct answer The total value of a company's issued shares Return on the market - correct answer S&P 500 - correct answer Tracks performance of a value weighted portfolio of 500 of the largest US companies Value weighted - correct answer weights are proportional to th...

Question 1 T/F: Forms of business - conceptual Proprietorship (owned by one individual, easy to form, few regulations, no corp taxation, difficult to fund, unlimited liability, lifetime limited) Partnership (two or more entities, similar to proprietorship, can be limited (LLC)) Corporations (legal entity created under state laws, separate and distinct from owners/managers) S Corps (dont pay income taxes) Question 2 T/F: Adv/Disadv of Corporation's- conceptual Advantages: Unlimited ...

Investment Analysis Samenvatting, Master Finance, Tilburg University

Expected return - answer-a weighted average of the possible returns, where the weight applied to a particular return equals the probability of that return occurring A: the cv reflects the effects of both risk & return - answer-q: why's the coefficient of variation (cv) a better measure of stand-alone risk that the standard deviation of an asset? A: one that minimizes risk & maximizes expected returns - answer-q: what's an "optimal" portfolio? A: add additional securities to ...