Fi8000
Valuation of
Financial Assets
Fall Semester 2008
Dr. Isabel Tkatch
Assistant Professor of Finance
Midterm
☺ Bring
your own formulas – One page (letter) with
formulas printed or written on one side
☺ Bring
☺
☺
Make sure that it works
Make sure that you know how to use it
☺ 4-5
☺
☺
☺
your calculator
open questions, 90 minutes.
Write down the data and the details of your
calculations
Simple questions are not a trap
Read each question carefully and make sure that you
are providing the solution that the question is seeking
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Midterm
1. Risk Aversion and
Capital Allocation to Risky Assets
1.1 Mean Variance Efficient Portfolios – Mutually exclusive asset; One
risk-free and n mutually exclusive risky assets; Two risky assets; n
risky assets; n risky and one risk free asset.
1.2 The minimum variance portfolio and the market portfolio.
1.3 The CML and the separation theorem.
1.4 Diversifiable and non-diversifiable (systematic / market) risk.
2. Capital Asset Pricing Model
2.1 The definition of beta and CAPM equilibrium (SML equation).
2.2 Expected return, variance and beta calculations for portfolios and
for efficient portfolios.
2.3 Pricing, overpriced and underpriced risky assets.
Book Chapters: 6, 7 and 9.
Midterm
☺Practice
Problems:
Practice Problems for Chapters 6, 7 and 9;
Quiz #1 question 5 (parts 5a – 5c);
Quiz #2 questions 2, 3, 4, 5, 6, 7;
Final questions 3 (3a – 3d) and 5 (5a – 5d).
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