If 30% of the questions are wrong it’s a good exam? If it has zero transparency and test is not electronic it’s a good exam? GARP doesn’t know how to test risk management. Most of the things are testing would be better on a computer in an applied setting.
I would also like to point out that I know Nassim Taleb personally and he thinks people involved in the academic risk industry are incompetent. This means people like Jorion and the people behind the FRM.
does anyone remember what the last questions were in the blue book about sortino and sharp? i thought they wanted to know how they were related and i had no idea
does anyone know why probabilites in the binomial were 5% and 10% or something close? I always thought it was p, 1-p. wonder if thats why i couldnt get the answer
= (39.03)(0.58) − (40)−(0.09)(0.5) (0.4359) = $ 3.671 . this is the answer from Hull with dividends. did they want use to computer the present value of the dividends? or was it a trick question. either way. the exam is way way way too difficult
I also struggled with the BSM question with dividend and the binomial. The vairation margin question was confusing. the end of the test sharp sortino questions left me clueless
A stock has a beta of 0.75 and an expected return of 13%. The risk-free rate is 4%. Calculate the market
risk premium and the expected return on the market portfolio.
Answer:
According to CAPM: 0.13 = 0.04 + 0.75[E(RM) − RF].
Therefore, the market risk premium is equal to: [E(RM) − RF] = 0.12 =...
While the riskfree rate is 1.0% and the market index (e.g., S&P 1500) has an expected return of 9.0% with volatility of 20.0%, a portfolio with covariance (to the market index) of 0.030 returns 10.0%. According to the capital asset pricing model (CAPM), what is the portfolio’s alpha?
-2.0%...
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