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1. How would the presence of memory effects in market impact change the trade optimization results displayed in Fig. 16.5?
2. In Fig. 16.5, why does high risk aversion lead to quick trading?
Text Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.
What is a student portfolio and why is it important?
Explain what Roll meant by the benchmark error, and identify the specific problem with this benchmark. In evaluating portfolio performance, describe the general procedure, with emphasis on the bench mark employed.
Calculate the tracking error for each manager relative to the index. Which manager did a better job of limiting his or her client's unsystematic risk exposure? Explain.
problem a stock currently sells for 50. in six months it will either rise to 55 or decline to 45. the risk-free
How can forward and futures contracts be designed to hedge foreign exchange rate risk? What is interest rate parity, and how would you construct a covered interest arbitrage transaction?
Portfolio project management
what happens to the expected return on the stock? Assume that the change in capital structure does not affect the risk of the debt and that there are no taxes.
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What new trading systems on the NYSE and on NASDAQ have made it possible to handle the growth in U.S. trading volume? What are the three recent innovations that contribute to competition within the U.S. equity market?
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