MẪU 1 – ĐỀ THI TỰ LUẬN

TRƯỜNG ĐẠI HỌC KINH TẾ LUẬT ĐỀ THI CUỐI KỲ

KHOA Tài chính Ngân hàng Học kỳ 2 Năm học 2020 – 2021
(Được sử dụng tài liệu)

Môn: Đầu tư tài chính (Financial Investment) Thời lượng:…60 phút

Mã đề (nếu có): ………
Mã lớp: 202TC2302, 202TC2304

Question 1 (4 mark):
Index model of 2 stock A and stock B as follow:
RA = 14% + 0.8 RM + eA
RB = 16% + 0.2 RM + eB
Assume that the market is equillibrium. The risk free rate is 9% and market risk premium is 5%,
market standard deviation is 25%.
a. If you can only choose one stock between stock A and stock B, which stock you will
choose? Why?
b. You use 20% of your capital to invest in stock A and 80% of your capital used to invest
in stock B. What is expected return of your completed porfolio?
c. What is expected standard deviation of your completed porfolio? Know that standard
deviation of stock A is 0.5 and that of stock B is 0.2
d. What is the Sharp ratio of this portfolio?
Question 2 (1 marks):
Assume that return of portfolio A is described by the following regressed model:
r = 10% + 0.6*GDP - 0.3*INT + 0.2*EX + e.
Risk premiums of macro-economic factors in the above model has the following values:
- The return of GDP factor: 10%
- The return of INT factor: 8%
- The return of EX factor: 6%
Risk free rate is 4%. What is expected return of portfolio A based on APT theory. Is there any
Arbitrage opportunity? Please describe Arbitrage strategy of the investor to exploit the Arbitrage
opportunity if it exists.

Question 3 (3 marks):

Mr. Kane has a plan of buying an apartment. He has to borrow from a bank 2 billions VND with
10%/year interest rate, the borrowing time is 3 year. (the interest is compound interest and paid
yearly, the principal 2 billions is paid at the end of the loan)
To immunize the interest rate risk of his loan, Mr. Kane invests in bond A and bond B:
- Bond A ‘s maturity time is 4 years, coupon rate is 10%.
- Bond B ‘s maturity time is 3 years, coupon rate is 9%.
Both bond A and bond B pay coupon annually, the face value of bond A and bond B is 400 millions
VND. Yield to maturity or the market rate is 8%

a. Calculate Macaulay duration and Modified duration of bond A and bond B. When yield to
maturity decreases 1%, how price of bond A and bond B change?
b. Calculate the convexity of bond A and bond B?
c. What is the invested weight of bond A and bond B that Mr. John needs to invest to
immunize interest rate risk of his loan?

Question 4 (2 marks) :
Price of stock XYZ now is $100. After 1 year, stock price can increase up to $120 or decrease to
$80. Market rate is 11%/year.

a. Using one period binomial pricing model, calculate the price of a call option on this stock.
Know that the exercise price of the put option is $1xx (xx represent the last two number of
student code) and maturity is 1 year.
b. If the real price of call option is $10, is there any arbitrage opportunity ?. Please show the
arbitrage strategy?

END OF TEST

APPROVAL BY DEAN LECTURER

Ass.Prof. Nguyễn Anh Phong MSc. Phạm Chí Khoa

Lưu ý:
- Sử dụng khổ giấy A4
- Tất cả sử dụng Font Times New Roman
- Phải thể hiện số thứ tự trang nếu tổng số trang lớn hơn 1.