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The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).
Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).
a) Differentiate between interest and currency swaps. b) Suppose a Swiss firm, ACER Com Ltd, wants to invest in the U.S. The Swiss firm needs US dollars with a term to maturit
Determine about the Liquidity Risk Liquidity risk is the risk associated with specific secondary market in which a security trades. An investment which can be bought or sold
WHAT ARE THE FORMULA OF REPRICING MODEL AND MATURITY MODEL?
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A former alumna of the University, who originated Racoon.com ((ticker: COON1), recently passed away. In her Will, she named X-University as the beneficiary of her assets, which was
Increasingly, organizations are using computer-based tools for contracting, tendering, and procuring to meet project deliverable requirements. Along with the benefits, there are so
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The current stock price of IOU is $250 and has a standard deviation of 35% per year. The risk-free interest rate is 5% per year compounded continuously. Find the prices of a call a
Question 1 Zero coupon yields (all yields are continuously compounded) are 3.00% for three months, 3.50% for six months, 3.60% for nine months and 3.80% for twelve months. Nort
Determine the roles and responsibilities for risk management at senior management level • The role and contents of the risk management strategy, including risk profile, risk app
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