Question 1:
Compare and contrast the Capital Asset Pricing Model with that of the Arbitrage Pricing Theory.
Question 2:
(a) Explain the concept of stock market efficiency.
(b) "If share prices follow a random walk, the stock market is efficient." Discuss.
Question 3:
(a) Describe how you would evaluate the performance of a fund manager?
(b) Explain the practical difficulties you might encounter in your task?
Question 4:
(a) Using a world of a two risky assets, derive the minimum variance portfolio.
(b) Show the competing theories underlying the term structure of interest.
Question 5:
Write briefly on the following:
(i) Capital Market Line and Security Market Line
(ii) Joint Hypothesis Dilemma
(iii) Size effect with respect to stock market anomalies
(iv) Systematic and Unsystematic risk