Investment

EFB335 PRACTICE MID EXAM & SOLUTION QUESTION 1 a) Distinguish in the midst of Value and Growth investors. (2 marks) b) explicate diagrammatically the relationship mingled with diversifiable and non-diversifiable risk. (3 marks) QUESTION 2 require the avocation information: - PortfolioReturnStd exitBeta X17%40%1.5 Y3%18%-0.25 Z11%15% Riskfree5% If portfolio Z is a combination of 25% in the Riskfree and 75% in the grocery Portfolio and the correlation between X and Y is -0.6, calculate a) whether X and Y atomic number 18 priced according to the CAPM (3 marks) b) whether the combination of 50% X and 50% Y lies above or below the CML. (2 marks) QUESTION 3 a) argue the implications of the research on market efficiency for both primal Analysts and Technical Analysts. (3 marks) a) treat two anomalies that the CAPM cant explain. (2 marks) QUESTION 4 Discuss the tailfin factors that mend the risk premium on an investme nt. (5 marks) QUESTION 5 grab the following information exists in a 2 federal official agent APT world. PortfolioReturn agent 1 Beta performer 2 Beta A18.2%1.51.2 B5%1.2-0.8 C12%0.80.99 D6.6%-0.50.

6 Factor 1 subsidy 4% Factor 2 Premium 6% Riskfree5% forecast whether the portfolios are correctly pricedand discuss an arbitrage strategy if in that respect is a mispricing. (5 marks) END OF PAPER Formulae Sheet PV = FV (1+i)-n FV = PV (1+i)n PV = R (1-(1+i)-n)/i FV = R ((1+i)n 1)/i P = P/E x E CV = (i/ E(Ri) Real Return = (1 + nominal)/(1 + inflation) 1 revenue greet Rat io = (1 + Pre-tax Return)/(1 + After-tax Ret! urn) 1 E(Ri) = Rf + Bi(Rm Rf) Bi = (im/(m2 (ij = (ij x (i x (j E(Ri) = Rf + (i (Rm Rf) (m E(Rp) = wi x E(Ri) + (1 wi) x E(Rj) (p2 = wi2 x (i2 + (1 wi)2 x (j2 + 2 x wi x (1 wi) x (ij x (I x (j E(Ri) = ?0 + bi1 ?1 + bi2 ?2 + + bik ?k E(Ri) = Rf + bi [E(RM) Rf] + si E(SMB) + hi E(HML) E(Ri) =...If you indigence to get a plenteous essay, order it on our website: BestEssayCheap.com

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