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Question 1 (a) You are provided with the following information Security Expected Return 05 0.45 0.7 Correlations Variances 0.25 Assuming that an individual decides to invest 0% in Aust A 20% in A t Band the remaining in Asset C, calculate the expected rate of return and risk of the portfolio 18 marks] You are provided with the following information Portfolio Required: ( The Sharpe Ratio of the individual assets and portfolio assuming a risk free return of 4% (4 marks (11) The Efficiency Ratio of the individual assets and portfolio (4 marks) Page 1 of 4 (c) You are provided with the following information on a given investment Holding Period Return Required The Geometric Mean Return over 5 years for the above investment 0 The Arithmetic Mean Return over 5 years for the above investment (4 marks 2 marks] You are given the following information: Name S ony 8% maturing 20 May 2021 Type Annual coupons Settlement date: 20 May 2018 Denomination TUSD 100 US 98 (a) (.) Show the discounted cash flows equation of the bond and Calculate an approximate figure for the yield to maturity [3 marks] Suppose the above band can be callable at US 95 on 20 May 2020. Calculate the yield to call and the yield to worst (4 marks Assume now that the band has a call option price worth US 7 Calculate the option adjusted price (2 marks] (c) (d) Calculate an approximate figure for the option-adjusted yield based on the call option price of US 7. [3 marks) Question 1 (a) You are provided with the following information. Security Expected Return 0.5 0.45 0.7 Correlations Variances 0.15 0.25 0.12 Assuming that an individual decides to invest 40% in Asset A, 20% in Asset B and the remaining in Asset C, calculate the expected rate of return and risk of the portfolio [8 marks) (b) You are provided with the following information: Asset Expected Return Variance Beta 11% 18% 12% 15% 9% 14% Portfolio 10% 12% Required: (1) The Sharpe Ratio of the individual assets and portfolio assuming a risk free return of 4% [4 marks] (11) The Efficiency Ratio of the individual assets and portfolio [4 marks) Page 1 of 4 (c) Year You are provided with the following information on a given investment: Holding Period Return 11% 12% WN 14% 10% Required: (1) The Geometric Mean Return over 5 years for the above investment (1) The Arithmetic Mean Return over 5 years for the above investment [4 marks] [2 marks]