Asset pricing
1. What is mean-reversion?
2. How does correlation affect portfolio volatility from theory? How strong are correlations between U.S. equity and foreign equity, commodity, treasury bonds, gold? What do these correlations suggest for investment strategy? Is foreign equity or commodity still effective diversifier?
3. What happen to the volatility of equally-weighted portfolio as the number of stock increases? What does the experiment suggest?
4. What is optimal portfolio? What is an efficient frontier?
5. How to estimate beta? What is alpha?
6. What is the rationale of adding extra factors into the CAPM model? What are the size and value effects? What do SMB, HML, and MOM stand for?