Question

Parts a,b,c

Answer Question 1 and one other question. Question 1 is allocated 50% of the marks for the paper. The other question is allocated 50% of the marks for the paper. The duration of the examination is 2 hours. 1. Answer three parts of the following question. Your answer for each part should be no longer than two pages long with respect to the capital and security market lines? of the two assets is the minimum variance portfolio (MVP)? Discuss. (a) Suppose you know that Portfolio P is an efficient portfolio. What does this tell you about its position (b) You hold a two risky-asset portfolio and short-selling is not permitted. Is it possible that the less risky (c) (d) Describe and graphically illustrate Markowitz' portfolto optimisation solution if a risk-free asset is not (e) Assume for simplicity sake that one factor has been deemed appropriate to "explain" returns on stocks (f) How would you perform a test of the predictions of the capital asset pricing model given historical data Show how one can use the security market line to evaluate portfolio performance. available. d there is no idiosyncratic risk. Derive the arbitrage pricing theory (APT) model. on asset and market portfolio returns?

Just bullets points on what I should write about thanks

Answer 1