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Structure

The quiz will have the following structure.

True/False: 20 marks across 8 statements

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"simple" Numerical 30 marks across 5 questions

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"standard" Numerical 30 marks across 5 questions

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"conceptual" Questions. 20 marks across 4 questions (subject to change)

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Topics

lmportant topics to have reviewed for the quiz includde!

Week 1:

Basic bond pricing. Be sure to know how to price bonds with different coupon paymentfrequencies.

Holding period return and annualised compound yield.

Week 2:

Inferring forward rates.

Calculating duration and convexity.

Estimate changes in bond values using duration and convexity.Immunization

Term structure theories

Week 3.

- Computing expected returns and standard deviations using states and probabilitiesComputing expected returns and standard deviations using historical dataComputing the expected return of a portfolio of assets.

Computing the standard deviation of for a portfolio of assets.

Computing covariance and correlations for portfolios of assetsQuadratic utility and indifference curves. There will not be any guestions on other kinds of utility

Week 4:

Minimum variance frontier.

. Minimum variance portfolio and the efficient frontier.

The optimal tangency portfolio.

Capital Allocation Lines.

The Capital Market Line.

Sharpe Ratios.

Week 5.

CAPM and the Security Market Line.

Betas as a measure of systematic risk.

Calculating asset weights in the market portfolio

Calculating asset risk and return contributions to the market portfolio.