FINA2205 Final Exam Information
Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit
FINA2205 Final Exam Information
Time: Please check your exam timetable.
Duration: 2 hours (plus 10 min for downloading/uploading).
Format: Open book, take-home (non-invigilated) Excel-based exam to be submitted on LMS. You will be given exam instructions in the PDF file. Data are individual specific. You are required complete all tasks in the Excel template provided. Please rename the Excel
template to include your full name and student ID.
You are only required to submit the completed Excel file at the conclusion of the exam,
Structure
3 questions (in the format of mini assignments), totalling 50 marks
Mock exams in Assessment 3 folder
List of possible data sources for the final exam
French data library |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html please make sure you understand that (1) You read “details” of a specific set of data (2) The returns are all expressed in terms of percentages, not decimals |
Yahoo finance |
https://au finance yahoo com |
Investing.com |
|
FRED economic data |
https://fred.stlouisfed.org , e.g. https://fred.stlouisfed.org/series/DCOILWTICO https://fred stlouisfed org/series/GDP |
Macrotrends |
https://www.macrotrends.net , e.g. |
Content Coverage: Weeks 1-11. Please use lecture notes as a guide and place emphasis on the following
1. Returns:
(1) Simple net returns, simple gross returns, log returns: single period, multi period. E.g. in assignment: compute annual returns from daily returns
(2) Arithmetic mean returns vs geometric mean returns: sumproduct and geomean functions
2. List of regression models
(1) Multiple linear regression models
o Descriptive statistics
o Regression estimation
o Goodness of fit: R2 and adjusted R2 , The F-Test of overall significance in regression
o T-test of regression coefficient estimates: the p-value rule, the rejection region rule
o Confidence bands of regression coefficient estimates: 90%, 95%, 99%
(2) Linear models with dummy variables: the interpretation of dummy coefficient estimate
(3) Linear models with both dummy variable and the interaction term: the interpretation of dummy coefficient estimate and the interaction coefficient estimate
(4) Logistic regression (in the format similar to practice questions)
Not examinable: Quadratic model
3. Optimal portfolio
(1) Risky-asset efficient frontier vs All-asset efficient frontier: efficient part of risk return diagram vs (green) straight line
(2) Excel-formula-based approach and the Excel Solver approach to the 2-steps of the mutual fund theorem
o Step 1: working out the OPTIMAL RISKY portfolio, i.e., the TANGENCY portfolio
o Step 2: working out the OVERALL OPTIMAL portfolio
4. Time series
(1) MA and exponential smoothing
(2) Linear trend model for a time series variable
(3) AR(1) model for a time series variable
Not examinable: Exponential trend model, higher order AR models (i.e., AR(p))
5. Simulation and Value at risk (parametric and non-parametric approaches)
General Excel Skills, especially those practised in
weekly hands-on Excel and
tutorial questions, and additional questions for some weeks
Plots
(1) Time series line plot: multiple series in the same figure
(2) Histogram: based on the frequency function, note the choice of 7- 11 custom bins based on Max and Min values of your data
(3) Scatter plot: X2 against X1, e.g. risk-return diagram Not examinable: Box plots.
Please keep Stats tables handy or use Excel. You are strongly recommended to prepare cheat sheets with concepts, formulas, and other info to optimize the usage of time in exam.
If you have queries
Please check for the consultation hours for the final exam: TBA on LMS
Please post onto the LMS “Final Exam Forum”
2023-05-19