Exam 2009, answers PDF

Title	Exam 2009, answers
Course	Corporate Finance, Investments and Financial Markets
Institution	The London School of Economics and Political Science
Pages	1
File Size	55.1 KB
File Type	PDF
Total Downloads	545
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Download Exam 2009, answers PDF

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FM300 2008/2009 exam Numerical answers Section A

Question 1.

b) i) Percentage change in price: Duration: -4.83% ; duration + convexity: -4.66% ii) Percentage change in price: Duration: 4.83%; duration + convexity: 4.99%

c) i) Return in first scenario: -14.75% Return in second scenario: 16.50%

Question 2. b) i) Forward Premium = 0.739% Risk Premium = 1.261% ii) The domestic currency (GBP) return on the foreign bond is 3.50%. c) Sharpe ratio of new portfolio = 0.252601 M2 of new portfolio = 1.29%

Question 3. b) Implied PPP exchange rate =1.054...