Formler

Question 1

PV

Answer 1

PV(rate ; nper ; PMT ; [FV] ; [Type]
- Type 1: PMT beginning of year
- Type 0: PMT end of year

Question 2

NPV

Answer 2

NPV(rate;value1; [value2];…)

Question 3

PMT

Answer 3

PMT(rate ; nper ; PV ; [FV] ; [Type]
- Type 1: PMT beginning of year
- Type 0: PMT end of year

Question 4

XNVP

Answer 4

Calculates the NPV tha tmay not be periodic.

Question 5

NXRR

Answer 5

VBA code to fix multiple IRR

Question 6

XIRR

Answer 6

Calculates the IRR that may not be periodic.
Annualized IRR with daily rates. XIRR = (1+daily IRR)^365 -1

Question 7

Feasible portfolio
Envelope portfolio
Efficient portfolio

Answer 7

Feasible portfolio
- Form the efficent set
Envelope portfolio
- Lowest variance of any giveen E(r)
Efficient portfolio
- Highest E(r) for any variance

Question 8

FV

Answer 8

7. =FV(rate; nper; pmt; [pv]; [type])

Question 9

Rate

Answer 9

RATE(nper; pmt; pv; [fv]; [type]; [guess])

Question 10

MMULT

Answer 10

=MMULT(array1; array2)

Question 11

BLTracking

Answer 11

o(i≈j) = Cov / O^2
o(o=j) = O^2 / O^2

Question 12

Inputs Varcovar

Answer 12

{=VarCovar(returns)}

Question 13

Sim inputs

Answer 13

=SIM(returns; market returns)
Slope(i) * slope (j) * var(rm)

Question 14

CorrMatrix

Answer 14

{=CorrMatrixTriangular(return; =averageIF(corrmatrixtriangular;”<1”)}

Question 15

Constant corr

Answer 15

{=constantcorr(returns; average correlation)}
StDev(i) * StDev(j) * rho

Question 16

TwoStagegordon

Answer 16

18. =TwoStageGordon(Po; Do; g1; m; g2)

Question 17

GVMP

Answer 17

Lowest variance among all feasible portfolios. The only envelope portfolio that does not depend on expectedreturns.

Question 18

Scaling factor

Answer 18

The Black-Litterman model assumes the market portfolio is efficient, meaning its weights reflect the trade-off between excess returns and risk (variance and covariance) based on investors’ aggregate risk aversion.

Using this assumption, the model calculates the implied expected returns for individual stocks, ensuring they align with the efficient market portfolio.

This provides a foundation for combining market-implied returns with investor views to adjust expectations and optimize portfolio weights

Question 19

Why is betas not right when testing SML?

Answer 19

• Short-sale constraints
• Disagreement among investors
• Individual preferences
• The uncertainty about what constitutes the true “market portfolio”
• Whether the “market portfolio” is truly efficient

Question 20

Explain the different entreprise value approaches

Answer 20

Accountant
Efficient market
Discounted cash flow

Question 21

FCF

Answer 21

• Free cash flow: is the cf from the firm’s operating activities, disregarding how the firm is financed.

Accounting profit after tax
+ Dep. and non-cash expenses
- Increase in Operating current assets
+ Increase in Operating current liabilites
- Increase in fixed assets at cost (CAPEX)

Question 22

Market value of Equity:

Answer 22

E = price per share * shares outstanding

Question 23

Market value of Debt:

Answer 23

D = Net debt = financial debt – liquid assets

Question 24

COst of dept

Answer 24

1. Average cost of existing dept
2. Net paid interest/(average dept of this and previos year)
3. Dept curve
4. Collect a lot of data of similar bonds
5. Get the average time to maturity (years)
6. Run a regression on the yield curve (qubic equation)
7. Solve the equation for Y, which is a qubic equation: ax^3 + bc^2 + cx + d

Example of solving the Y (equation is the regression) = maturity

Question 25

Explain the different cost of equity equations

Answer 25

Gordon one and two and equity payout

Question 26

Ways of obtaining r(M) for CAPM

Answer 26

Average and gordons equity and div