Portfolio Mngmt

Question 1

Annualized rate

Answer 1

[(1+r)^365/t] -1

Question 2

Value at risk

Answer 2

Minimum extreme loss

Question 3

Real return

Answer 3

(1+r nominal)/(1+п infl premium) = (1+rf)(1+Rp)

Question 4

Utility function

Answer 4

E(R)-1/2Aversion rate x Var

Question 5

CApital Market Line

Answer 5

Capm=E(rp) = rf+[(E(Rm)-rf)/Varm] x St div of portfolio

Question 6

Which cap allocation extends for individual securities and efficient portfolios?

Answer 6

Capm and Sml

Question 7

Which cap allocation line is applied for eficient portfolios?

Answer 7

Cml and CAL (risky portfolio is a market portfolio)

Question 8

Betta coefficient

Answer 8

Measures systematic risk of the market

ß= security risk/ tot market risk

ß= correl(asst, market) x st div asst/st div m

Or ß= cov(Ri, Rm)/ var m

Question 9

Expected return of the asset

Answer 9

E(Ri) = rf+ßi[E(Rm)-rf]

Question 10

Portfolio performance evaluation

Total risk measures

Answer 10

Sharpe Ratio = Rp-Rf / st div p

M^2 = (Rp-Rf)[st div m/ st div p] - (Rm - Rf)

Question 11

Portfolio performance evaluation

Using systematic risk only

Answer 11

Treyner Ratio = Rp-Rf / ß

Jensen’s Alpha= Rp- [Rf + ßp(Rm-Rf)]

Question 12

E(R)

Answer 12

E(R) = (1+Rf)x(1+E(п))x(1-E(Rp)) -1