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4 views

EMF 2021 Form

Uploaded by

grpsqt9xvd
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Monetary and Financial Economics – Instituto Superior de Economia e Gestão

FORM – Exam, 2021

 n 
Expected return of the portfolio: R p   x i R i
i 1
n n n n n
Variance of the portfolio:  2p    xi x j  ij or  2p   xi2 i2   x x  i j ij (i  j )
i 1 j 1 i 1 i 1 j 1

with  ij   ij  i  j ;  ij  11
;

Particular cases with n = 2 (hypotheses: R2  R 1 e  22  12 )


   
 R  R2 R 2  1  R1  2  p 2
 12  1 : Rp  1 p ; x1  .
 1  2  1  2 1   2
       
 R1  R 2 R 2  1  R1  2  R 2  R1 R 2  1  R1  2
 12  1 : R p  p or R p  p
 1  2  1  2  1  2  1  2
 p 2  p   2
x1 
1   2 x1 
1   2

R  R   p2  a  R p  b   R22 12  R12 22  ab 2
2
ij = 0:
2
1 2

a  12   22  R2  12  R1  22
b
 12   22

Capital Market Line:



 R m  RF m  p
R p  RF   p ; xF 
m m
C C C C F
Bonds: P    ...  
1  i (1  i) (1  i)
2 3
(1  i) (1  i) n
n

C
Current rate of return: ic 
P
FP 360
Actualised rate of return: idb  
F days to maturity
C  Pt 1  Pt
Rate of return on bond investment: RET   iC  g
Pt
Interest rate for a bond of maturity n, according to

Expectations theory int  (it  ite1  ite2  ...  ite( n1) ) / n

Liquidity premium theory int  (it  ite1  ite2  ...  ite( n1) ) / n  lnt

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MFE, ISEG, 2020-2021
Stock evaluation:
D1 D2 Dn Pn
P0     
(1  ke ) (1  ke ) 2
1
(1  ke ) n
(1  ke ) n

D0  (1  g ) D1
Gordon’s model P0  
( ke  g ) ( ke  g )

Exchange rate market

RD  iD
Ete1  Et
R i 
F F

Et

Money supply, monetary multipliers:

1 c 1 c 1
m  m
c  r c  rL  rC b  r  rb

Money demand:

M d  k  PY

M d  L1 Y   L2  i 

b T0
Md 
2i

Md
 f Yp , (rb  rm ), (re  rm ), ( e  rm ) 
P

Note: variables as used in the classes.

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MFE, ISEG, 2020-2021

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