Questions from General Investment


Q: Visit Professor Kenneth French’s data library Web site: http://mba

Visit Professor Kenneth French’s data library Web site: http://mba.tuck.dartmouth.edu/pages/ faculty/ken.french/data_library.html and download the monthly returns of “6 portfolios formed on size and b...

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Q: Suppose that the inflation rate is expected to be 3% in

Suppose that the inflation rate is expected to be 3% in the near future. Using the historical data provided in this chapter, what would be your predictions for: a. The T-bill rate? b. The expected rat...

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Q: You are faced with the probability distribution of the HPR on the

You are faced with the probability distribution of the HPR on the stock market index fund given in Spreadsheet 5.1 of the text. Suppose the price of a put option on a share of the index fund with exer...

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Q: Hennessy & Associates manages a $30 million equity portfolio for the

Hennessy & Associates manages a $30 million equity portfolio for the multimanager Wilstead Pension Fund. Jason Jones, financial vice president of Wilstead, noted that Hennessy had rather consistently...

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Q: Consider these long-term investment data: The price of

Consider these long-term investment data: The price of a 10-year $100 face value zero-coupon inflation-indexed bond is $84.49. A real-estate property is expected to yield 2% per quarter (nominal) with...

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Q: The Fisher equation tells us that the real interest rate approximately equals

The Fisher equation tells us that the real interest rate approximately equals the nominal rate minus the inflation rate. Suppose the inflation rate increases from 3% to 5%. Does the Fisher equation im...

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Q: You’ve just stumbled on a new dataset that enables you to compute

You’ve just stumbled on a new dataset that enables you to compute historical rates of return on U.S. stocks all the way back to 1880. What are the advantages and disadvantages in using these data to h...

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Q: You manage a risky portfolio with an expected rate of return of

You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%. Suppose that your client decides to invest in your portfolio a proportion y...

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Q: Which of the following statements are true? Explain. a

Which of the following statements are true? Explain. a. A lower allocation to the risky portfolio reduces the Sharpe (reward-to-volatility) ratio. b. The higher the borrowing rate, the lower the Sharp...

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Q: Look at the data in Table 6.7 on the average

Look at the data in Table 6.7 on the average excess return of the U.S. equity market and the standard deviation of that excess return. Suppose that the U.S. market is your risky portfolio. a. If your...

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