SUNWAY UNIVERSITY BUSINESS SCHOOL SAMPLE FINAL EXAMINATION FOR FIN 3024 INVESTMENT MANAGEMENT

Size: px

Start display at page:

Download "SUNWAY UNIVERSITY BUSINESS SCHOOL SAMPLE FINAL EXAMINATION FOR FIN 3024 INVESTMENT MANAGEMENT"

Jewel Cannon
6 years ago
Views:

1 UNWA UNIVRIT BUIN HOOL AMPL FINAL AMINATION FOR FIN 34 INVTMNT MANAGMNT

2 TION A A ALL qto th cto. Qto tha kg facg fo a ca. Th local bak ha ag to gv hm a loa fo 9% of th cot of th ca h ll pay th t cah a o h ha jt tak ot a 5-ya loa fo th amot. To pay th loa h ha ag to pay RM at th of vy ya ba o a APR of 8% compo qatly. What th pc of tha ca? [5 mak] Qto Th t o tock llo ov th pat 3 ya : 9 tock llo 6.8% 6.% 9.5% tock G ha a hap Rato of.4. Th k-f at of t 6%. alclat th htocal t a volatlty of tock llo a tm hch of th to tock th btt vtmt. [4 mak] tock G ha a xpct t tc a lag a tock llo. Gv that th to tock hav a colato of.6 calclat th xpct t a volatlty of a potfolo that ha a qal amot vt G a llo tock. [4 mak] Qto 3 tcally valat th ffc bt vtg xchag-ta f TF a mtal f cog th avatag a avatag of ach. [8 mak] Qto 4 xpla hy mag paymt a cay th cotxt of hot llg. [4 mak] of cto A Total [5 mak] 3

3 TION B A AN THR qto. ach qto oth 5 mak. Qto A. tcally valat th ffctv of th captal at pcg mol APM a a tool tmg at t. [ mak] B. Th t o at a tc a tv to makt chag compa to th t o at. Th xpct t o at % a t taa vato of t 5%. Th xpct t o at 5% a t taa vato of t 35%. Th makt k pmm %. alclat th k-f at of tt a th Bta that ol gv th xpct t of % a 5% fo at a pctvly. [5 mak] Aft pop aaly yo a o covc that th bta fo at a hol actally b. a.8 pctvly. alclat th alpha fo both at a at a cat hth thy a pc ov-pc o faly-pc. [4 mak] Otl th bac a bh th o-facto mol of Abtag Pcg Thoy a t to co ho a hy th pc of at a at ll chag. [6 mak] Total [5 mak] 4

4 Qto A. Gv a ma of th k avo of a vto th a may pobl ay to calclat h/h tlty. o a gv that A ma th lvl of k avo of a vto th xpct t o a potfolo a σ th taa vato of th potfolo t. Alc a k-av vto th A = a h tlty fcto gv by U = - ½ Aσ. A patcla ky f ha σ =.5 a f Alc vt % of h moy that f h ll hav a tlty of.4. If h ca boo at th k f at of 6% calclat th tlty h ol gt by vtg 3% of h moy th k-f f a 7% th ky f. ggt th th a of a agam ho h ca ajt h potfolo to achv a hgh tlty gvg ao fo yo ggto. [ mak] xpla th th a of appopat agam ho th tlty cv fo k-av k-lovg a k-tal vto ff. [6 mak] B. o a k-av pav vto. Ho ol h pfc affct th choc of ct th optmal ky potfolo a th optmal complt potfolo? Wol h b abl to vt a potfolo abov th captal makt l ML? [5 mak]. Dcb to ma ffc bt th captal makt l ML a th cty makt l ML. [4 mak] Total [5 mak] 5

5 Qto 3 A. Th pc of a tock RM8 a t pc xpct to th go p by % o o by % vy 9 moth. Th tock pay v at a coto at of % a th foc of tt 5%. v What th pc of a 8-moth 9-tk opa call opto o th tock? [ mak] What ol b th pc of a 8-moth 9-tk opa pt opto o th tock? [3 mak] What ol b th pc of a 8-moth 9-tk Amca call opto o th tock? [ mak] o th to call opto pat a abov alog th a 8-moth at-th-moy opa call opto a a 8-moth at-thmoy Amca call opto o th tock. Wthot fth calclato ak th fo call opto fom mot xpv to lat xpv gvg ao fo yo a. [3 mak] B. xpla ho t pobl fo a val to gt th ffct of k-f lg by g a tock alog th call a pt opto o that tock. laly tat ho mch bg lt at th k-f at. [5 mak] Total [5 mak] 6

6 Qto 4 A. Joatha cotmplatg call opto o a patcla tock. Th pc fo 3 moth call opto o th tock a RM4 a RM.5 fo tho th tk pc of 5 a 6 pctvly. Joatha cog g a ato call backpa cat by llg call th a tk pc of 5 a byg call th a tk pc of 6. O gaph pap a th payoff a poft agam fo th opto tatgy hog ho th 3 call opto a comb to cat th ato call backpa. [6 mak] U yo gaph to tm th maxmm pobl lo a th ag of tock pc that ll gv a poft at matty. If Joatha ol a call opto that a mo ot-of-th moy tha th o fo RM4 a boght th am to call fo RM.5 ach hat ol happ to h t pmm th poft ag a maxmm pobl lo? [5 mak] What Joatha makt otlook f h thk that th ato call backpa a tabl tatgy to vt? [3 mak] B. xpla a lltat ho th val of a pt opto chag f: th volatlty of th lyg at chag. [3 mak] th pc of th lyg at chag. [3 mak]. Th pot pc fo hat U$6 p bhl a th 8-moth ft pc fo hat $63 p bhl. Th k-f at of t 3.5%. alclat th abtag poft that xt a xpla th cay taacto fo a vto to t a k-l poft th ft makt fo hat. [5 mak] ND OF PAPR Total [5 mak] 7

7 8 FORMULA HT Pobablty a tattc xpct Rt: all p _ Vaac: all p Va _ ampl Vaac: ampl ovaac: ov ovaac & olato: ov p ov ov. Fo a to-at potfolo: P P p

8 9 Athmtc Avag p Gomtc Avag g Itt Rat R m m m Aty alclato PVIFA FVIFA Pptty alclato pptty PV APM f M f M M ov Pt-all Paty PV v PV P pot-ft Paty D F f Itt Rat Paty T fo om F Rplcatg Potfolo B h PV B h h h h Black chol Fomla N N T T T T l T

Noise in electronic components.

Noise in electronic components. No lto opot5098, JDS No lto opot Th PN juto Th ut thouh a PN juto ha fou opot t: two ffuo ut (hol fo th paa to th aa a lto th oppot to) a thal at oty ha a (hol fo th aa to th paa a lto th oppot to, laka