Finance and Accounting

Portfolio Optimisation and Portfolio Performance Measure
Project description
This coursework is designed to illustrate the practical aspects of portfolio optimization and the performance measurement. This exercise involves the
following tasks.
1. By doing the optimization using Excel Solver, you are required to construct a mean variance efficient portfolio frontier for any 10 randomly selected ordinary shares listed on a stock market. For all your calculations, you should use the 60
monthly returns, sample means, standard deviations, and co-variance and correlation matrices. Plot the portfolio frontier and comment on the weights of
the portfolios along the portfolio frontier including in your discussion the correlations among the 10 shares.
2. By Identifying and combining a risk-less asset with the 10 shares, plot the portfolio frontier and select the tangent portfolio on the portfolio frontier.
Provide the rationale for your choice of the riskless asset.
3. Assume that the short selling is not allowed, how your efficient frontiers would differ from those with short selling allowed in questions 1 and 2 above.
4. Identify the appropriate benchmark index and critically evaluate the performance of the tangent portfolio selected above using various risk-adjusted
portfolio performance measurement indices. Justify your choice of the benchmark index.
5. Comment on the limitation of your analysis and critically evaluate the gains in
the performance of the identified portfolio along with the associated risks from international diversification, particularly investment in the shares listed on emerging stock markets.
Portfolio Investment Analysis
Coursework
BAF_
6
_
PIA
Business
2013
-
14
6
Portfolio Optimisation and Portfolio Performance
M
easurement
This coursework is designed to illustrate
the
practical aspects of portfolio
optimisation and
the
perf
ormance measurement. This exercise involves the
following tasks.
1.
By doing the optimisation
using Excel Solver, you are required to c
onstruct a
mean variance efficient portfolio frontier
for any 10 randomly selected ordinary
shares listed on a stock marke
t. For all your calculations, you should use the 60
monthly returns, sample means, standard deviations, and covariance and
correlation matrices.
Plot
the portfolio frontier
and comment on the weights of
the portfoli
os along the portfolio frontier
including
in your discussion the
correlations among the 10 shares.
2.
By Identifying and combining a riskless asset with the 10 shares, plot the
portfolio frontier and select the tangent portfolio
on the portfolio frontier
.
Provide the rationale for your choice of t
he riskless asset.
3.
Assume
that the
short selling is not allowed, how
your efficient frontiers would
differ from those with short selling allowed in
questions 1 and 2 above.
4.
I
dentify the appropriate benchmark index and critically evaluate the
performance
of the tangent portfolio selected above using various
risk
-
adjusted
portfolio performance measurement indices. Justify your choice of the
benchmark index.
5.
Comment on the limitation of your analysis and
critically evaluate
the gains in
the performance of t
he identified portfolio
along
with the associated risks
from
international diversification,
particularly
investment in the shares listed on
emerging
stock
markets.
You are expected to demonstrate the knowledge, understanding and effective use
of the analy
tical tools, underlying theory, and concepts taught in the lectures and
seminars
.
Make sure that the random sample of shares for this exercise should be chosen by
yourself
and must not be borrowed or copied from any
of your
class
mate
s
. You will
be provide
d with the instructions for using Excel Solver in one of the seminars.
Submission Deadline:
Tuesday
,
6
May
201
4
Submitting your coursework
Deadlines
You must make sure that you submit your coursework by the publicised deadlines. It is
your responsibility to make sure you’re aware of your deadlines.
It is very important that you let us know if you’re unable to meet the deadline for
submit
ting your coursework, or if you won’t be able to attend an examination. If you
can’t meet a deadline then you should contact your
Faculty Office
before
the due
date.
Handing in at your Faculty Office
You should complete
:
A
Coursework Submission Form
;
Hard copy of your course work
;
A
copy of the “Turn
-
It
-
In” report
; and
And a soft copy on a CD/USB
The Faculty Office can get very busy during hand
-
in periods so to save time you should complete the Submission Form before you submit your coursework.
Your
Faculty Office
will date stamp your Coursework Submission Form and give you a
receipt which you should put in a safe place as it’s your only proof of submission.
Late Submission of written coursework
Key points to note are:
?
Late submission is only permitted for written coursework and dissertations.
?
Late submission is permitted up to two weeks without extenuating circumstances.
?
Undergraduate and Masters work is treated exactly the same.
?
Work submitted late is marked as normal but the mar
k given to the work is capped at
the pass mark. The only exception to this is when a student has DDS arrangements
in place.
?
Work submitted more than two weeks late receives a capped mark of zero.
?
There is no extension available for referred coursework. Ref
erred coursework
submitted late always receives a mark capped at zero.
?
A cap on a mark can always be lifted if there are valid extenuating circumstances.
Information on the extenuating circumstances procedure can be found on my.lsbu.
If you are unable to hand in your work by the deadline you should complete the
Late or Non Submission of Assessment Form available on my.lsbu.
If you are registered with Disability & Dyslexia Support
Your arrangements with Disability & Dyslexia Support (DDS) could include provision for late submission of coursework.
You should inform your Course Director or Year
Tutor and make sure you fill out a Late or Non Submission of Assessment
Form detailing that you have this
arrangement in place.

Get professional help with your research essay paper today from our student essay service. For all your Academic Essay/ Research/ Thesis/ Dissertation/ writing needs at an affordable price. 100% authenticity and on-time delivery/ Overnight delivery/ 6 hours delivery. Try our services and we assure you of getting a good grade in your coursework, Term Paper, Research Paper, Thesis, or Dissertation. Order this paper and enjoy a 20% discount today