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1. Examine the recent (past six months) price charts for Walgreens, Intel, and Merck (or any three firms of your choosing). What channels, buy/sell points, and patterns do you see in them?
2. What do the daily price and volume charts of the Dow Jones Industrial and S&P 500 for the past year imply for future price trends in the overall market?
Impact of Beta on Portfolio: Obtain the closing price, the change in price from the previous day, and the beta
To perform well over the next three to six months. As an active portfolio manager, describe the various methods available to take advantage of this forecast.
How can you increase the Sharpe ratio of a portfolio? What type of stocks would you have to add to it in order to do so? Why is the hurdle rate in Section 13.2 lower for Japan than for Canada?
How do American- and European-style options differ from one another? What is the relationship between the Black-Scholes and put-call parity valuation models?
Demonstrate graphically how you could synthetically recreate the payoff structure of a share of DRKC stock in six months using a combination of puts, calls, and T-bills transacted today.
Develop an implementation plan that sets out the actions you will use to implement, monitor and evaluate changes. You may find it helpful to fill out the implementation plan template attached
What will make some money Next 2QR motif
What is the market value of the portfolio at the end of Year 1? Immediately after the end of the year, interest rates decline to 10 percent. Estimate the new value of the portfolio, assuming you did the required rebalancing.
Briefly describe how you could increase the convexity of the portfolio while keeping the modified duration at the same level.
Suppose that the assets of a bank consist of $500 million of loans to BBB-rated corporations. The PD for the corporations is estimated as 0.3%.
Demonstrate that, in this scenario, the investor can form a portfolio with zero variance and find the appropriate weights associated with this portfolio and compute the expected return and standard deviation of the portfolio.
The U.S. Treasury bill is yielding 3.0% and the market has an expected return of 11.6%. What is the Treynor ratio of a correctly-valued portfolio that has a beta of 1.02, and a standard deviation of 12.2%?
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