Investment

EFB335 PRACTICE MID EXAM & SOLUTION QUESTION 1 a) Distinguish in the midst of Value and Growth investors. (2 marks) b) develop 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 combine of 25% in the Riskfree and 75% in the food market 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) talk over two anomalies that the CAPM cant explain. (2 marks) QUESTION 4 Discuss the tailfin factors that touch the risk premium on an investm ent. (5 marks) QUESTION 5 sham the following information exists in a 2 federal official agent APT world. PortfolioReturn agent 1 Beta street girl 2 Beta A18.2%1.51.2 B5%1.2-0.8 C12%0.80.99 D6.6%-0.50.

6 Factor 1 premium 4% Factor 2 Premium 6% Riskfree5% gauge whether the portfolios are correctly pricedand discuss an arbitrage strategy if thither 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 valuate greet Ratio = (1 + Pre-tax Return)/(1 + After-tax Return) 1 E(Ri) = R! f + 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 broad essay, order it on our website: OrderCustomPaper.com

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