Sample Paper 1

SP Jain Center of Management – Dubai/Singapore

Course: Financial Maths (Prof Mahendra Mehta)

1) A portfolio has a return of 5% and has a volatility of 3%. Assume that portfolio returns are normally distributed, compute the probability of the following – Asset Return would be

a. Between 7% and 9%

b. Between -4% and -5%

c. More than 15%

d. Less than -5%

2) If average return for the 6 year period is 13.27% and the returns for other years are given below: Find the return of an asset for 4^th year (Use Geometric Mean)

Year 1: 18%, Year 2: -12%, Year 3: 89%, Year 4: ??, Year 5: -11%, Year 6: 24%

3) Find the weighted average holding price of an asset, if we buy and sell the assets at the prices given below

Asset Quantity	Bought At
100	45.50
200	48.60
Asset Quantity	Sold At
50	48.70
50	34.50

4) Compute the volatility (%) of portfolio of assets

	Investment (USD)	Volatility (%)
Asset 1	50,000	10%
Asset 2	20,000	14%
Asset 3	10,000	20%
Asset 4	20,000	25%

Correlation Matrix between the various assets are given as below

	Asset 1	Asset 2	Asset 3	Asset 4
Asset 1	1	0.25	0.30	0.45
Asset 2	0.25	1	0.50	0.10
Asset 3	0.30	0.50	1	0.30
Asset 4	0.45	0.10	0.30	1