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questions from investment analysis amp portfolio management 10thed reilly amp brown1 under what conditions would you
1 determine the investment portfolio composition for kents northern branch that would maximize the expected
1 determine the financing portfolio composition for kents southern branch that would minimize the expected effective
1 based on the expected effective financing rate for the portfolio and the total amount of pound15 million borrowed
your topic isalternative investment classes and their role in investment portfoliosyou are required to describe with
for the purpose of this exercise students will choose a well known investorportfolio manager ie warren buffet david
1 you have a residual risk aversion of lr 012 and an information ratio of ir 060 what is your optimal level of
1 what are the expected excess returns and residual returns for portfolios b q and c2 what are the total and
manager a is a stock picker he follows 250 companies making new forecasts each quarter his forecasts are 2 percent
a stock picker follows 500 stocks and updates his alphas every month he has an ic 005 and an ir 10 how many bets does
1 according to the apt what are the expected values of the un in eq 71 what is the corresponding relationship for the
in an earnings-to-price tilt fund the portfolio holdings consist approximately of the benchmark plus a multiplec times
what is the percentage of unexplained variance in the capmmi portfolio does this portfolio qualify as highly
assume an excess return forecast of 5 percent per year for a value factor excess return of -1 percent per year for a
1 compare eq 816 to the capm result for expected returns to relate u to rq impose the requirement that eu 1 to
you believe that stock x is 25 percent undervalued and that it will take 31 years for half of this misvaluation to
using the result from the first applications exercise what is the valuation multiple in the state defined by rq 5
according to modigliani and miller and ignoring tax effects how would the value of a firm change if it borrowed money
you are a manager who believes that book-to-price bp earnings-to-price ep and beta are the three variables that
you forecast an alpha of 2 percent for stocks that have ep above the benchmark average and ibes growth above the
use appropriate software eg barras aegis and alphabuilder products to determine the current dividend-to-price ratio
assume that residual returns are uncorrelated and that we will use an optimizer to maximize risk- adjusted residual
1 show that the optimal combination of now and later leads to a mixture strategy with the correlation of the mixture
1 discuss how restrictions on short sales are both a barrier to a managers effective use of information and a
you are a benchmark timer who in backtests can add 50 basis points of risk-adjusted value added you forecast 14 percent