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Last updated:
June 22, 2015
The final exam will cover all the material from the course syllabus. The final exam will be
concept oriented but there will also be some calculation involved so bring a calculator. I
will not ask you to do proofs or long derivations. The best place to start your studying
is with the homework assignments. Solutions for the homework assignments are on the
homework page. Check the Notes page for
updates of the class lecture notes.
The exams will be closed book and closed note exam. However, I will
allow one page (double sided) of handwritten or typed notes
Topics to be covered for the Midterm
- Return calculations
- simple and continuously compounded returns
- time aggregation
- Review of random variables
- Shape characteristics (mean, variance,
skewness, kurtosis)
- quantiles
- normal distribution
- linear functions of random variables
- value-at-risk using the normal distribution for
returns and continuously compounded returns
- covariance and correlation
- characteristics of portfolios with risky
assets
- Matrix Algebra
- Compute portfolio expected return and variance
using matrix algebra
- Time Series Concepts
- covariance stationarity
- Autocorrelations
- MA(1) and AR(1) models
- Descriptive statistics
- empirical quantiles, histograms, boxplots, qq-plots
- historical value-at-risk
- sample statistics (univariate, bivariate,
time series)
- Constant expected return model
- model assumptions and interpretation
- relationship to random walk model
- Monte Carlo simulation
- estimation of parameters
- Here is an old take-home midterm exam.
- Here is an
in class midterm exam
from summer 2000.
- Here is an
in class midterm exam
from summer 2001.
- Here is an
in
class midterm exam from winter 2002. Here are the
solutions.
- Here is an
in class midterm exam from fall 2003.
Here are the solutions.
- Here is an
in class midterm exam from fall 2004.
Here are the solutions.
- Here is an
in class midterm exam,
with solutions, from spring 2006.
- Here is an
in class midterm exam,
with solutions, from spring 2007.
- Here is an
in class midterm exam,
with solutions, from Fall 2008.
- Here is an
in class midterm exam,
with solutions, from Fall 2009
- Here is an
in class midterm exam,
with solutions, from Summer 2011
- Here is an
in class midterm exam,
with solutions, from Summer 2012
- Here is an
in class midterm exam,
with solutions, from Summer 2014
Topics to be emphasized on
the Final Exam (Second Midterm)
Constant expected return model
Introduction to portfolio theory
- characteristics of portfolios with risky and
riskless assets
- portfolio frontier
- efficient portfolios
- global minimum and tangency portfolios
Portfolio Theory with Matrix
Algebra
- Express Markowitz algorithm for finding efficient
portfolios using matrix algebra
- Express Markowitz algorithm for finding efficient
portfolios with no short sales
Risk Budgeting and Beta as a Measure of Portfolio Risk
-
What is Euler's theorem?
-
How can you additively decompose portfolio SD into
asset specific components?
-
How do you interpret asset marginal contributions to
SD?
-
How is beta related to asset contributions to
portfolio SD?
Statistical Analysis of Efficient Portfolios
-
How can you use the bootstrap to evaluate estimation
errors in efficient portfolio weights, expected returns and
volatilities?
-
Rolling analysis of efficient portfolios
Final Exams
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