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The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).
Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).
Bull-Bear Market Risk This risk arises from the variability in the market returns resulting from alternating bull and bear market forces. Ø when security index rises fair
identify risks faced by a banking institution and ways of preventing them
I would need a literature review of the market liquidity risk. 1)Basic definitions 2)Literature review - in the context of market microstructure -Importance of market liquidity ris
how to survie in this highly complicated world
QUESTION 1 Discuss the following terms with supported examples (a) Country risks (b) Funding risks (c) Market risks QUESTION 2 Total return swaps are used by f
Question: The government of a certain country aims at ‘expanding the domestic and international markets for poultry products produced in the country'. The plan is to incr
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Which of the following statements about group insurance underwriting principles is (are) true? I. If a plan is contributory, 100 percent of the eligible employees must be covered.
Determination of risk assessment policy should be included as a specific component of risk management Risk assessment policy sets the guidelines for value judgments
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