In order to create an efficient set of portfolios thru optimization using concepts from Markowitz portfolio theory, you would need to forecast only 2 variables including expected return and standard deviation or variance for the asset classes or securities in focus. True or false

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What would the effect of the failure in the ratio measurement?

a)define market risk.       b)define delta-hedged position and describe delta hedging.      c)describe gamma hedging and vega hedging.       d)define and explain value at risk (VAR).       e)describe the analytical (variance-covariance) method of calculating VAR, and discuss its advantages and disadvantages.

Consider an environment of 40 individual risky securities and one risk free asset. One investoris selecting between the Markowitz mean-variance frontier framework and the index model inthe portfolio analysis. Answer the following questions:   (a) How many parameters are used as the input to construct the mean-variance frontier (b) How many inputs are used for the index model? calculate aswell

Which of these are true about the Security Market Line and Capital Market Line models? 1. the intercepts are the same 2. the independent variable for the Capital Market Line is beta 3, the Capital Market Line applies to portfolios only O 1 and 2 only O 2 only O 1 and 3 only O 2 and 3 only O 3 only

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Which of the following statements is correct?     A delta-neutral portfolio is protected against large changes in the underlying asset price.     The delta hedging error increases as gamma decreases.     To change the vega of a portfolio, we need to trade the portfolio’s underlying asset.     A delta-neutral portfolio needs to be rebalanced more frequently as the gamma increases to maintain delta-neutrality.   Please explain and justify your choice using your own words.

Return on a portfolio of two risky assets which are perfectly negatively correlated is equivalent to a. Risk-free rate b. Return on market portfolio c. Zero return d. -1%

Consider two portfolios, Portfolio A and Portfolio B, with the following performance metrics: - Portfolio A has a Sharpe Ratio of 0.8, a Treynor Ratio of 1.2, and a Jensen's Alpha of 0.5. - Portfolio B has a Sharpe Ratio of 1.2, a Treynor Ratio of 0.9, and a Jensen's Alpha of -0.2. Which of the following statements is correct regarding the performance of these portfolios? Portfolio A has a higher risk-adjusted return when the risk is measured by the beta. Portfolio B outperforms the risk-adjusted return suggested by CAPM. Portfolio A and B have similar risk-adjusted returns, but Portfolio B exhibits negative abnormal returns. Portfolio B has a higher risk-adjusted return when the risk is measured by the standard deviation. Portfolio A outperforms Portfolio B in terms of both risk-adjusted return and abnormal returns suggested by CAPM.