5 - Risk Diversification with Portfolios

1 Market Efficiency

2 Risk Preferences

3 Types of Markets

4 Theoretical underpinnings

5 Limit order books

6 Which of the following statement is incorrect in the context of security prices in the financial markets.

7 Which of the following statement is incorrect in the context of market participants.

8 Which of the following statement is incorrect in the context of efficient markets.

9 Which of the following statement is incorrect in the context of Risk preferences

10 In pure limit order book markets, liquidity is provided by

11 Compute the relative spread for a best Ask: Rs 230 and best Bid Rs 225

12 Economic Theory of Choice under certainty

13 Indifference curves and interest rates

14 Expected and Actual Returns

15 What is risk

16 Short note on compunding

17 For a rational individual the following is an incorrect statement

18 An individual is (A) lender or (B) a borrower if

19 For a rational individual consuming normal goods with positive utility, the following statement is correct with respect to the marginal utility of consumption.

20 Existence of financial instruments with different interest rates suggests

21 Assume the returns available on a security for three periods are

22 In the previous question (1), compute the average expected per period returns from the security.

23 What is the effective interest rate for 0.5% monthly installments.

24 Consider the order book schedule provided below.

25 In the previous question (4), what is your estimate of spread as per the order book schedule.

26 1- Portfolio Construction with two securities expected returns

27 2-Expected Returns from a Portfolio A simple example

28 3 - Portfolio Construction with two securities Risk

29 4 -Portfolio Construction with Multiple Securities risk

30 5 - Risk Diversification with Portfolios

31 Theoretically, in which of the following situations would you get the largest reduction in risk by spreading your investment across two stocks?

32 A positive covariance between two securities indicates that

33 Simply adding more securities to the portfolio leads to diversification

34 Theoretically, no diversification is achieved in a stock portfolio

35 For an N-stock portfolio the following is an incorrect statement

36 Find the risk

37 In the previous question

38 Find the expected returns

39 Portfolio Construction Recap I

40 Portfolio Construction Recap II

41 Mean Variance Framework

42 Portfolio Possibilities curve

43 Feasible Frontiers

44 Efficient Frontier Scenarios Multi Security Case 1

45 Efficient Frontier Scenarios Multi Security Case II

46 Minimum Variance Portfolio

47 Introduction to Riskfree lending and borrowing I

48 Introduction to Risk-free lending and borrowing II

49 Introduction to Risk-free lending and borrowing III

50 Market Risk and Beta

51 A portfolio is considered to be efficient if

52 Identify the incorrect statement.

53 If an investor is holding a security individually, what is the most appropriate risk measure for him.

54 A security's contribution to the risk of a portfolio is

55 The betas for the market portfolio and risk-free security are, respectively

56 The following statement is incorrect in the context of beta

57 Assumptions with CAPM

58 Assume that the following assets are correctly priced according to the security market

59 Assume that the following

60 Assume that the

61 All of the following are assumptions of the standard Capital Asset Pricing Model (CAPM) EXCEPT

62 The capital market line (CML) uses

63 Which of the following is NOT a relaxation of the assumptions for the CAPM?

64 Simple approach to understand CAPM I

65 Simple Approach to understand CAPM II

66 Fallings of CAPM

67 Single Index Models and Correlation Structure

68 The following is incorrect for market model.

69 If you are tracking 200 securities, and assume single index model for simplifying correlation structure. How many estimates are needed?

70 If you are tracking 100 securities, and do not assume any index model or simplifying correlation structure. How many estimates are needed

71 If you are tracking 100 securities, and assume single index model for simplifying correlation structure. How many estimates are needed.

72 If you are tracking 100 securities, and assume multi index model with five (5) indices for simplifying correlation structure. How many estimates are needed

73 Construction of Single Index Models

74 Single Index Models Example

75 Portfolio Characteristics with Single Index Models

76 Market Model

77 Estimating Beta

78 Beta Estimation Example

79 Few Words on Beta

80 Introduction to Multi Index Models

81 Definition of Multi Index models

82 Multi index models expected return and risk

83 Fama French 3 Factor Model

84 Portfolio Management Strategies

85 Passive Portfolio Management Strategies

86 Tracking Error and Index Portfolio Construction

87 Active Investment Strategies

88 Investing Styles

89 Value vs Growth Investing

90 Which of the following is incorrect in value-vs-growth investing.

91 In the context of factor investing the following is an incorrect statement.

92 Identify the incorrect statement

93 Identify the incorrect statement

94 Portfolio Performance Evaluation

95 One Parameter Measures Sharpe Ratio

96 One Parameter Measure Treynor measure

97 One Parameter Measure Jensens Measure

98 One Parameter Measures Information Ratio

99 Performance Measurement with Downside risk Sortinos ratio

100 Sortinos ratio example

101 Consider the data provided on mutual funds below

102 In question 1, compute the Treynor’s measure for Fund 4

103 In question 1, compute the Jensen’s alpha measure (also called differential measure) for Fund 1 if beta is the appropriate risk measure

104 In question 3, compute the Jensen’s alpha measure (also called differential measure) for Fund 1 if total risk (standard deviation) is the appropriate risk measure

105 Consider the data provided on mutual funds below

106 In question 1, compute the Treynor’s measure for Fund 3

107 In question 1, compute the Jensen’s alpha measure (also called differential measure) for Fund 5 if beta is the appropriate risk measure

108 Portfolio Performance Evaluation Timing

109 Evaluation of Market Timing

110 Statistical Significance of Portfolio performance

111 Holdings Measure of Timing

112 Holding Measures of Security Selection

113 Which of the following is the correct factor in the case of CAPM or single-factor APT

114 Holding Measure Example

115 Characteristic Selectivity Performance Measure

116 Consider the following performance data of a manager with benchmark index

117 In the context of timing and selection of securities, identify the incorrect statement

118 In question 8, how much contribution was on account of allocation skill of the manager.

119 In question 8, how much contribution was on account of the selection skill of the manager.

120 Introduction to APT

121 Simple Proof of APT part 1

122 The following statement is incorrect about APT

123 Simple Proof of APT part 2

124 The following statement is incorrect about APT.

125 A few important points about APT

126 Testing the APT

127 The following statement is incorrect about APT

128 Testing the APT Factor Analysis

129 Testing the APT Specifying the attributes of a security

130 Testing the APT specifying the influences or portfolios

131 APT and CAPM single index case

132 APT and CAPM Multi Index case

133 APT and Passive Portfolio Management

134 APT and active portfolio management