MSc Finance and Investment-QFFM Written Coursework Assignment

Your
Task

Answer should be provided as a report writing
PART A
What
factors are responsible for the recent surge in international portfolio
investment (IPI)? (10 marks)Security
returns are found to be less correlated across countries than within a
country. Why can this be? (10 Marks)Explain
the concept of the world beta of a security. (5 Marks)Explain
the concept of the Sharpe performance measure. (5 Marks)
(Total 30 Marks)
PART B
A commodity trader believes that
average volume of wheat he traded can be described by a Normal model
with a mean of 32,000 metric tons and standard deviation of 2,500 metric
tons.(Total marks
25 marks)
a) If a client buys some bushels of
his wheat, would it be reasonable for the client to hope that the
transactions will reach 40,000 metric tons? Explain. (5 marks)
b) Approximately what fraction of
the transactions can be expected to reach less than 30,000 metric tons? (5
marks)
c) Approximately what fraction of
these trades can be expected to reach between 30,000 and 35,000 metric tons?
(5 marks)
d) Estimate the IQR of the trade
volumes. (5 marks)
e) In planning an investment
strategy, the commodity trader wants to offer an opt-out guaranty (or an
option to cancel a trade) to any customer whose transaction volumes failed to
deliver an agreed volume of transaction compared to the mean. However, he
does not want to take too big a risk. If he is willing to give transaction
refunds to no more than 1 of every 25 customers, for what volume level of
transactions can he offer an opt-out guaranty? (5 marks)
In 1999, Lehman Brothers estimated that
48% of its investment bank traders took diverse forms of soft drugs.
Based on these data, Lehman established a Drug Eradication Plan goal of
reducing that figure to 16% by the year 2010. To that end, they hoped to
achieve a reduction to 20% by 2006. In 2006, they released a research
study in which 23% of a random sample of 1,815 traders said they were
currently addicted. Is this evidence that progress towards the goal is
off track? (Total marks = 20
marks)
a) Write appropriate hypotheses. (5
marks)
b) Verify that the appropriate
assumptions are satisfied. (5 marks)
c) Find the p-value of this test.
(5 marks)
d) Explain what the p-value means
in this context and set an appropriate conclusion – Of course, your
conclusion may be incorrect and if so which kind of error did you commit? (5
marks)
7. Of all the CEOs in the Citibank,
Walter Wriston had the highest disapproval
rating from the internal bankers near the end of his mandate. His disapproval
rating was the highest at 66% in May 1973 during the oil crisis, before he
resigned. In May 2007, Charles Prince’s disapproval rating was 63%, according
to an internal poll of 1,000 internal bankers. Bank experts started
discussing whether Charles Prince’s rating was still discernibly better than
that of Walter Wriston’s. What do you think? (Total marks = 15 marks)
8.
A start-up company has developed an improved electronic
chip for use in algorithm trading equipment. The company needs to project the
manufacturing cost, so it develops a spreadsheet model that takes into
account the purchase of production equipment, overhead, raw materials,
depreciation, maintenance, and other business costs. The spreadsheet
estimates the cost of producing 10,000 to 200,000 chips per year, as seen in
the table next.(Total marks = 10 marks)
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a)
Develop a regression model to predict Costs based on the Level of
Production and compare it to the dispersion obtained from the table
above. (5 marks)
b)
Re-expressing each variable based on logarithm,
establish the new regression model to predict Costs based on the Level of
Production, graph and analyse your new findings. (5 marks)

Guidelines

Please
read all questions and information provided carefully. Answer should be made
in appropriate length keeping in view the requirement of each question and
total word counts allowed.

In
addition, your assignment should demonstrate the following qualities:

A critical
appreciation of relevant literature and its use to support argument,
substantiate calculations and other aspects of the assignment.
Taking ownership
of the content, being prepared to debate and argue a personal position, and
providing evidence of evaluative skills. A submission made up of extracts
from published sources which is descriptive or simply just theoretical
regurgitation is not acceptable. Your submission must have interpretation and
consideration of the challenges and issues of taking theory into practice.
Logical
flow of ideas and treatment; appropriate selection of real world factors
related to the companies under scrutiny.

Evidence
of additional personal research, and the ability to analyse material from a
variety of appropriate relevant perspectives.

Presentation,
structure, appropriateness of methodology, breaking into section
headings/subheadings, tidiness.

Marks
will be awarded for proper referencing and originality of work. Also note
that plagiarism is a serious offence and your submission will be
electronically checked.

Your
report must be handed in electronically no later than given date of
submission.