Hello there!

I have a 1 hour and 30minutes long assignment (needs to be completed within the "1 hour and 30 minutes") that I need help getting done. Its in "Investment Analysis and Portfolio Management" on the following topics:

Asset classes

Trading

Modern Portfolio Theory

It will be sometime tomorrow. whenever you're available. Can you help me? It will be a total of 34 questions.

Includes: Multiple choices, calculations, short answers.

I'll post the question tomorrowif you're available.

Formula Sheet Elements of Investments (Holding Period) Rate of Return: r= Ending value - Initial value + Cash Distribution Initial value (1) The net asset value of a managed company is NAV = Asset - Liability # of Shares Outstanding (2) Margin Ratio Equity Value of Stock Equity Short Sale: Margin% = Value of Stock Shorted Buying On Margin: Margin% = (3) (4) Risk and Return Suppose there are S possible states, and the probability of the state s being realized is denoted as p(s), and the return in state s is r(s) - The expected return of a random variable r is the probability weighted average return in all scenarios: S p(s) r(s) E(r) = (5) s=1 - Variance is the expected value of the squared deviation 2 = E(r E(r))2 (6) S p(s)[r(s) E(r)]2 = (7) s=1 - Standard Deviation is the square root of variance. = 2 (8) - For a normal distribution with mean E(R) and standard deviation of , its 5% VaR can be computed as Var = E(R) 1.64485 - Sharpe Ratio for any asset is dened as Sharpe = E(r) rf (9) Suppose you have N time-series observations of returns for an asset, r1 , ..., rs , ..., rN , then for this asset, - Sample (Historical) mean returns is r= 1 N N r(s) (10) s=1 - Sample (Historical) variance is s2 = 1 N 1 1 N (r(s) r)2 s=1 (11) Measurement of Comovement between two assets. Suppose that there are two assets, Asset 1, and Asset 2. There are S possible states, and the probability of the state s being realized is denoted as p(s). - The covariance is the expected value of the cross-product of deviations. 1,2 = E[(r1 E(r1 ))(r2 E(r2 ))] (12) S p(s)[r1 (s) E(r1 )][r2 (s) E(r2 )] = (13) s=1 - Denition of Correlation 1,2 = 1,2 1 2 (14) Portfolio Choice Portfolio Returns: Suppose that a portfolio P has N assets, and the weight on Asset i is wi for i = 1, 2, ...N . - The return of a portfolio is also a random variable, and it is the weighted average of the returns of the constituent assets: N rp = w1 r1 + w2 r2 + ... + wN rN = wi ri (15) i=1 - The expected return of a portfolio is the weighted average of the returns of the constituent assets: N E(rp ) = w1 E(r1 ) + w2 E(r2 ) + ... + wN E(rN ) = wi E(ri ) (16) i=1 - Risk of the portfolio Two-asset case: Suppose a portfolio P has two assets 1 and 2 with weights w1 and w2 , the variance of the portfolio is 2 P 2 2 2 2 = w1 1 + w2 2 + 2w1 w2 12 = (17) 2 2 w1 1 (18) + 2 2 w2 2 + 2w1 w2 1,2 1 2 Three-asset case: Suppose a portfolio P has three assets 1, 2 and 3 with weights w1 ,w2 , and w3 , the variance of the portfolio is 2 P 2 2 2 2 2 2 = w1 1 + w2 2 + w3 3 + 2w1 w2 1,2 + 2w1 w3 1,3 + 2w2 w3 2,3 = 2 2 w1 1 + 2 2 w2 2 + 2 2 w3 3 + 2w1 w2 1,2 1 2 + 2w1 w3 1,3 1 3 + 2w2 w3 2,3 2 3 (19) (20) Suppose Portfolio C is composed of two assets: a risk free asset F and a risky asset P where the weight on the risky asset P is y. - Then Portfolio C's expected return and standard deviation are E(rC ) = (1 y)rf + yE(rP ) C = y P (21) (22) - The Capital Allocation Line is a plot of all risk-return combinations available (C , E(RC )) by varying asset allocation between a risk-free asset and a risky portfolio P. E(RC ) = Rf + E(RP ) Rf C P (23) - For an investor with risk aversion A, the optimal allocation to the risky portfolio P is y = 2 E(rp ) rf 2 A p (24) CAPM Capital Market Line (CML) describes the equilibrium relationship between the total risk and expected return only for ecient portfolios: E(RM ) Rf P (25) E(RP ) = Rf + M Market risk premium is determined by (1) risk aversion and (2) the risk of the market. Mathematically, 2 E(RM ) Rf = A M (26) Security Market Line (SML) describes the equilibrium relationship between the systematic risk of any asset or portfolio (as measured by beta) and its expected return. E(Ri ) = Rf + i [E(RM ) Rf ] (27) The systematic risk of asset i is measured by , which is dened as i = iM i iM 2 = M M (28) The beta of a portfolio is N p = wi i = w1 1 + w2 2 + ... + wN N (29) i=1 Alpha is the dierence between the expected return of an investment and the required rate of return based on an asset pricing model such as the CAPM. APT APT states that if asset realized returns are driven by K macro factors and rm-specic news, Ri = E(Ri ) + i,1 F1 + i,2 F2 + ... + i,K FK + i (30) then there is an expected return-beta relationship in the economy. E(Ri ) = Rf + i,1 RP1 + i,2 RP2 + ... + i,K RPK (31) where i,k is asset i's factor loading on Factor k, and RPk is the risk premium for Factor k. Option Pricing The put-call parity C+ X = S0 + P (1 + rf )T (32) Cu Cd uS0 dS0 (33) The hedge ratio H= 3