Quantitative Finance Midterm Exam

Time: 90 minutes
Student are allowed to use learning materials
LƯU Ý
QUY ĐỊNH CẦN THỰC HIỆN TRƯỚC KHI LÀM BÀI

1. Anh/Chị phải ghi đầy đủ các thông tin sau vào trong bài làm của mình:
 Họ, tên:
 Ngày tháng năm sinh:
 Lớp:
 STT
 Đề số:
2. Lưu lại bài làm với tên File như sau: XX_HO_TEN.XLS
(XX là số thứ tự trong danh sách)
3. Thư mục lưu bài thi là:X:\ (trùng với thư mục chứa đề thi).
Ví dụ:
X:\ 05_TRAN_VAN_BINH
X:\ 12_LE_THI_HOA
4. Anh/ Chị có thể chọn Excel 2003, hoặc Excel 2007, 2010 để làm bài.
5. Bài thi không thực hiện đúng các quy định trên xem như không hợp lệ.
Investors collect monthly stock price data on U.S security exchanges as follows:

S&P
Date AAPL JPM NKE MCD MSFT MRK
500
2,058.9
Dec-14 110.38 62.58 48.08 93.7 46.45 56.79
0
1,994.9
Jan-15 117.16 54.38 46.12 92.44 40.4 60.28
9
2,104.5
Feb-15 128.46 61.28 48.56 98.9 43.85 58.54
0
2,067.8
Mar-15 124.43 60.58 50.16 97.44 40.66 57.48
9
2,085.5
Apr-15 125.15 63.26 49.42 96.55 48.64 59.56
1
2,107.3
May-15 130.28 65.78 50.84 95.93 46.86 60.89
9
2,063.1
Jun-15 125.42 67.76 54.01 95.07 44.15 56.93
1
2,103.8
Jul-15 121.3 68.53 57.61 99.86 46.7 58.96
4
1,972.1
Aug-15 112.76 64.1 55.88 95.02 43.52 53.85
8
1,920.0
Sep-15 110.3 60.97 61.48 98.53 44.26 49.39
3
2,079.3
Oct-15 119.5 64.25 65.52 112.25 52.64 54.66
6
2,080.4
Nov-15 118.3 66.68 66.14 114.16 54.35 53.01
1
2,043.9
Dec-15 105.26 66.03 62.5 118.14 55.48 52.82
4
1,940.2
Jan-16 97.34 59.5 62.01 123.78 55.09 50.67
4
1,932.2
Feb-16 96.69 56.3 61.59 117.19 50.88 50.21
3
2,059.7
Mar-16 108.99 59.22 61.47 125.68 55.23 52.91
4
2,065.3
Apr-16 93.74 63.2 58.94 126.49 49.87 54.84
0
2,096.9
May-16 99.86 65.27 55.22 122.06 53 56.26
6
2,098.8
Jun-16 95.6 62.14 55.2 120.34 51.17 57.61
6
2,173.6
Jul-16 104.21 63.97 55.5 117.65 56.68 58.66
0
Aug-16 106.1 67.5 57.64 115.66 57.46 62.79 2,170.9
 5
2,168.2
Sep-16 113.05 66.59 52.65 115.36 57.6 62.41
7
2,126.1
Oct-16 113.54 69.26 50.18 112.57 59.92 58.72
5
2,198.8
Nov-16 110.52 80.17 50.07 119.27 60.26 61.19
1
2,238.8
Dec-16 115.82 86.29 50.83 121.72 62.14 58.87
3
2,278.8
Jan-17 121.35 84.63 52.9 122.57 64.65 61.99
7
2,363.6
Feb-17 136.99 90.62 57.16 127.65 63.98 65.87
4
2,362.7
Mar-17 143.66 87.84 55.73 129.61 65.86 63.54
2
2,384.2
Apr-17 143.65 87 55.41 139.93 68.46 62.33
0
2,411.8
May-17 152.76 82.15 52.99 150.89 69.84 65.11
0
2,423.4
Jun-17 144.02 91.4 59 153.16 68.93 64.09
1
2,470.3
Jul-17 148.73 91.8 59.05 155.14 72.7 63.88
0
2,471.6
Aug-17 164 90.89 52.81 159.97 74.77 63.86
5
2,519.3
Sep-17 154.12 95.51 51.85 156.68 74.49 64.03
6
2,575.2
Oct-17 169.04 100.61 54.99 166.91 83.18 55.09
6
2,647.5
Nov-17 171.85 104.52 60.42 171.97 84.17 55.27
8
2,673.6
Dec-17 169.23 106.94 62.55 172.12 85.54 56.27
1
2,823.8
Jan-18 167.43 115.67 68.22 171.14 95.01 59.25
1
2,713.8
Feb-18 178.12 115.5 67.03 157.74 93.77 54.22
3
2,640.8
Mar-18 167.78 109.97 66.44 156.38 91.27 54.47
7
2,648.0
Apr-18 165.26 108.78 68.39 167.44 93.52 58.87
5
2,705.2
May-18 186.87 107.01 71.8 160.01 98.84 59.53
7
2,718.3
Jun-18 185.11 104.2 79.68 156.69 98.61 60.7
7
 2,816.2
Jul-18 190.29 114.95 76.91 157.54 106.08 65.87
9
2,901.5
Aug-18 227.63 114.58 82.2 162.23 112.33 68.59
2
2,913.9
Sep-18 225.74 112.84 84.72 167.29 114.37 70.94
8
2,711.7
Oct-18 218.86 109.02 75.04 176.9 106.81 73.61
4
2,760.1
Nov-18 178.58 111.19 75.12 188.51 110.89 79.34
7
2,672.4
Dec-18 169.6 101.36 72.51 184.65 107.59 77.42
2

Supposedly the S&P 500 is a representative for market index. Risk-free rate: 3.5%/year.
Request:
1. Caculate Average Return (according to continuous compounding method), Variance,
Standard Deviation and Beta of these securitites (1 point)
2. Calculate the Covariance Matrix of these securities in two different ways (Using data
analysis and AT*A/n formula) (1 point)
3. Compute the minimum variance portfolio allocation with contraints below: (2 points)
 Minimum annual return 8%
 Stock weight of each asset must be less than 70%
 No short sale
4. With 2 constants (2% and 4%), build an efficient frontier in case of short sales (2 points)
5. AAPL is considering a project as follows: The life cycle of the project is 7 years. The
project is expected to generate 250,000 products per year. Each product will sell for
$1,000, and the company predicts next year's product price to go up 10% compared to the
previous year due to the impact of inflation. The first year's fixed cost (excluding
depreciation) is $40 million, the following year add up $300,000 through the whole life
cycle. Variable costs account for 75% of revenue. The initial cost of purchasing
machinery and equipment is $100 million depreciated in a straight line method over 10
years. The project requires a working capital of $10 million right now, which will be
refunded at the end of the project. At the end of the project, the machinery will be sold
for $20 million (salvation) before tax. The company uses an optimal capital structure with
 debt ratio 35%. The cost of debt is 6% (pre-tax). The cost of equity will be calculated
from stock price data. The coporate tax rate is 25%. Request:
5.1. Estimate the cash flow of the project (1 point)
5.2. Make investment decision based on NPV and IRR criteria (1 point)
5.3. The production director indicates that the product output will follow the same
distribution with the quantity of 200,000; 210,000; 220,000; 230,000; 240,000; 250,000;
260,000; 270,000; 280,000; 290,000; 300,000. Let's simulate the NPV and compute the
probability which makes NPV less than $40 million (Using data analysis and Z score). (2
points)