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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).
Problem: Warming Up Luke likes to consumer CDs (good1) and pizzas (good 2). His preference over both goods is given by the utility function If Luke allocates $200 to spe
what will be the number one credential for risk management?
1) What difference does it make to the Var calculated in Example if the exponentially weighted moving average model is used to assign weights to scenarios as described in Section 1
Project set up
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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Case: You are a partner in a first time PE fund. Against all chances, you have been able to raise $300M from investors. The business plan based on which you got the funds from
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Explain the meaning of risk management to an organisation Concept of risk: • What is risk? • Risk and decision making • Types of strategic risk • Six steps to managing strate
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