UNIVERSITY OF ZIMBABWE

Tutorial Worksheet

Measures of Investment Risk

Question 1
(i)

a. Calculate mean and variance of return (5%, 6%%)

b. Calculate shortfall probability where benchmark return is 0% (5.76%)
c. Calculate the 95% VaR over one year with a 95% confidence limit for a
portfolio consisting of £100m invested in the asset modelled above

Solution (i)

(ii)
Calculate the 97.5% VaR over one year for a portfolio consisting of £200m
invested in shares. You should assume that the return on the portfolio of shares
is normally distributed with mean 8% pa and standard deviation 8% pa.

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Solution (ii)

Question 2

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Solution 2

Question 3

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Solution 3

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Utility Theory
Question 1

Solution 1

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Question 2

Solution 2

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Question 3

Solution 3

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Question 4

Solution 4

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Mean Variance Portfolio Theory
Question 1

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Solution 1

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Question 2

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Solution 2

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Multi-Factor Models of Returns

Question 1

Solution 1

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Question 2

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Solution 2

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Capital Asset Pricing Model
Question 1

Solution 1

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