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    Key rate exposures

    Dear David I am quoting Bruce Tuckman "Since the two-year par yield is a key rate, changing any other key rate does not, by definition, change the two-year par rate. Consequently, two year par bonds have no exposure to any key rate except the two-year key rate. Similarly, five-, 10-, and...
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    Hull Ch3 Hedging strategies Using Futures

    The reasons for Hedging an Equity portfolio as explained by Hull on pg 70 : Hedging is justified if the hedger feels that the stocks in the portfolio have been well chosen and will outperform the market. If the hedger feels that the stocks will outperform the market then why does she feels the...
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    Type of questions expected from "Expected returns and the Arbitrage Pricing Theory" by Grinold

    I would suggest all to go through the CFA level II notes on APT. The text is superb.
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    Type of questions expected from "Expected returns and the Arbitrage Pricing Theory" by Grinold

    Hi David Can you please put some light on the type of questions expected from "Expected returns and the Arbitrage Pricing Theory" by Grinold in your view ? I do not have any clue about this reading after reading it. Everything kinda look theoretical. Rahul
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    Treynor vs Sharpe index

    Hi David In "Portfolio theory and performance analysis" Noel Amenc explains that Treynor index is appropriate for portfolio that only constitutes a part of investors assets and Sharpe index for a portfolio that represents individual's total investment. But according to me it should be...
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    Position of Rf on expected return-risk graph

    Hi David First of all sorry that my question was not clear. I do not know if I have misunderstood the graph of efficient frontier prior to introduction of Rf, but to me it seems that there are lot of points on the frontier left to summit (having lower standard deviation means less risk and...
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    Position of Rf on expected return-risk graph

    Dear David In Reading "The Capital Asset Pricing Model and Its Application to Performance Measurement" can you please clarify the footnote 2 as I think that Rf should be positioned below any point on the efficient frontier and not just below the summit point as when we get onto the efficient...
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    Question on financial terms

    Thanks again David for all the insight you provide to the doubts that come our way. Rahul
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    Question on financial terms

    Dear David In Box 1-1 The origin of VAR (page 18 of Jorion chapter 01), Can you please clarify the terms "value risks" and "earning risks." Also, investing in cash does not make any sense to me as investing in cash is decreasing your purchasing power even though market value stays constant...
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    Type of questions expected from "the need for Risk management"

    Thanks again for your clarification and directing me to the required wiki page. Rahul
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    Type of questions expected from "the need for Risk management"

    Hi David Can you please suggest/give example about what kind of questions are expected from "The need for Risk management" reading of Value at risk by Philippe jorion ? The text is completely theoretical and I think that normally questions are numericals. Rahul
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    Is CFA notes relevant for FRM quantitative analysis

    Thank you for your prompt response and given clarification.
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    Is CFA notes relevant for FRM quantitative analysis

    David My roommate is giving CFA level 1 this year. So, I got a peek in study notes sent by CFA institute. To me, Quantitative analysis in Book 1 very relate to FRM syllabus. What would you suggest about it. Do they start from basic, I mean, assuming I do not have any finance background but...
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