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投资考试代做 AcF 321代写 INVESTMENTS代写

2022-10-05 11:44 星期三 所属: 投资管理代写 浏览:60

AcF 321 INVESTMENTS

投资考试代做 SECTION A (40 Marks)  Section A consists of QUESTIONS 1 and 2. Answer ALL questions. QUESTION 1 ANSWER ALL PARTS OF THIS QUESTION

(2 hours + 15 minutes reading time)

Answer ALL questions from Section A (40 marks).

Answer TWO questions from Section B (30 + 30 = 60 marks). For each section please write your answers in a separate booklet.

A list of important formulae is included at the end of the examination paper.

The use of standard calculators with scientific, and standard arithmetic and statistical functions, is permitted.

 

SECTION A (40 Marks)   投资考试代做

Section A consists of QUESTIONS 1 and 2. Answer ALL questions.

QUESTION 1

ANSWER ALL PARTS OF THIS QUESTION

You are analyzing the stock of LG Mutual. You have 60 monthly observations of returns on LG, the T-Bill (), and the market factor. You assign a capable and competent assistant to fit the Capital Asset Pricing Model to this data:

 

 

REQUIRED:

a. What are the x-variable and y-variable in the regression? (2 marks)

b. What is the equation of the fitted line? (3 marks)

c. What is the market beta for LG? Does LG move together with the market? (5 marks)

d. Is there any strong evidence of mispricing in LG stock? (4 marks)

e. Is the majority of variance here systematic or unsystematic? Explain your answer. (4 marks)

 

QUESTION 2    投资考试代做

ANSWER ALL PARTS OF THIS QUESTION

a) (i) State the weak form of the efficient market hypothesis (EMH) and also discuss the implication of the weak form of the EMH on return predictability. (5 marks)

(ii) The figure below shows a scatter plot of daily returns on day t (on the y-axis) against daily returns on day t- 1 (on the x-axis) for the Dow Jones Industrial Average Index. The sample period is from January 1990 to February 2017. The serial correlation test indicates that the estimated autocorrelation coefficient is -0.06 with a standard error of 0.12. Is this empirical evidence supportive or contradictory with reference to the weak form of the EMH? Use the empirical evidence provided to support your answer.(5 marks)

 

 

b) What are the three of modern hedge funds’ most important characteristics? (6 marks)

c) Please list the three types of equity based hedge fund trading strategies. (6 marks)

TOTAL 40 MARKS

 

SECTION B (60 Marks)   投资考试代做

Section B consists of QUESTIONS 3, 4 and 5.

Answer TWO questions out of three in this section.

QUESTION 3

ANSWER ALL PARTS OF THIS QUESTION

Consider a passive mutual fund, an active mutual fund, and a hedge fund. The risk-free interest rate is zero and the mutual funds claim to deliver the following gross returns:

 

投资考试代做
投资考试代做

 

REQUIRED:

a. What is the active mutual fund’s beta (with respect to the stock index)? (2 marks)

b.  What is the hedge fund’s beta? (4 marks)

c. What is the hedge fund’s volatility? (4 marks)

d. What is the hedge fund’s expected return before fees? (4 marks)

e. What is the hedge fund’s alpha before fees? (4 marks)

f. An investor has $40 invested in the active fund and $60 in cash. What investments in the hedgefund, the passive fund and cash (i.e., the risk-free asset) would yield the same market exposure (beta) and same alpha? (12 marks)

TOTAL 30 MARKS

 

QUESTION 4   投资考试代做

ANSWER ALL PARTS OF THIS QUESTION

a. Suppose that your investment menu has two risky assets (A and B). The expected returns, standard deviations and correlation coefficient are given in the table below.

E[r] σ[r] Correlation
Asset A 0.06 0.12 ρ(rA,rB) = 0.2
Asset B 0.05 0.18

 

REQUIRED:

(i) Find the global minimum variance portfolio, i.e., the fractions of wealth invested in the two risky assets ( wA and wB ). (6 marks)

(ii) Assume that the risk-free rate is rf = 0.01 . Find the optimal risky portfolio, i.e., the portfolio weights wA and wB that maximize the Sharpe ratio of the portfolio. (4 marks)

(iii) Calculate Sharpe ratios for the portfolios obtained in (i) and (ii). (5 marks)

 

投资考试代做
投资考试代做

 

TOTAL 30 MARKS

 

QUESTION 5

ANSWER ALL PARTS OF THIS QUESTION

Suppose you can invest in three different widely diversified portfolios which are subject to two sources of risk: inflation risk (1st risk factor) and consumption growth risk (2nd risk factor). You have been given the following information about the expected returns and factor betas:

Portfolio Expected Return (%) bi1 bi2
A 14 1 0.6
B 12 0.5 0.9
C 9 0.5 0.3

 

REQUIRED:

a. Use information about portfolios A and C to find the risk-free rate if the APT holds. (8 marks)

b. Find the two factor risk premiums on inflation (factor 1) and consumption growth (factor 2)respectively according to the APT. (8 marks)

c. Suppose you create a portfolio (portfolio D) by investing 50% of your wealth in portfolio A, 30% in portfolio B and the remaining 20% in portfolio C. Calculate the expected return and the factor beta of portfolio D. (8 marks)

d. Suppose there is another portfolio (portfolio E) with the same factor betas as the portfolio you have created in (c) but with an expected return of 13%. If arbitrage opportunities exist, create a strategy that can generate arbitrage profits. (6 marks)

TOTAL 30 MARKS

投资考试代做
投资考试代做

 

 

 

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