AFIN3052 Applied Portfolio Management Assignment

Assignment Help Portfolio Management

Reference no: EM132509237

AFIN3052 Applied Portfolio Management - Macquarie University

Project Assignment

You are working as an investment analyst in an asset management company - Invest ‘Em All Asset Management. Your supervisor Simon who is a portfolio manager has recently come across a seminar on modern portfolio theory. He found that the idea of modern portfolio theory maybe useful in developing new trading strategies. You are asked to investigate the modern portfolio theory using historical market data and analyse the use of it in practice. The investigation will involve the following tasks:

Q1. Data polishing. Prepare data and calculate required statistics for analysis.
Q2. Choose the 5 stocks with highest Sharpe ratio in the training period and find the optimal portfolio by applying mean-variance optimisation, assume no short-selling is allowed. Report the expected return and standard deviation of the portfolio.
Q3. Use the portfolio obtained in 2 and compare the performance of this portfolio in the testing period to your expectation.
Q4. Comment and discuss the difference.

Data set includes the daily prices of 200 constituent stocks and ASX200 market index in the period 31 Dec 2017 to 31 Dec 2019. Use daily returns from 1 Jan 2018 to 30 Jun 2019 as training data set and daily returns from 1 Jul 2019 to 31 Dec 2019 as testing data set. Dividends are already reflected in the prices. Assume the riskfree rate for the whole period is 1% p.a..

Report (Page limit: 8 including appendix):
1. Executive summary
2. Review of problem
3. Address all tasks in previous section
4. Conclusion
5. Appendix (You may put tables or charts in appendix. You should also put down the contribution of each group member here.)

3. Individual Project

Your manager then asked you to apply CAPM and test individual stock.

Tasks:
1. Pick one stock from the 5 stocks you choose in the group assignment. (You should discuss with other members in the group that no stock would be picked twice.)
2. Estimate the beta and the variance of firm-specific risk of the stock under CAPM using the training data set. What assumptions are made in your calculation? Comment the results.
3. Other comments or discussions you find relevant.

Report (Page limit: 4 including appendix):
1. Review the theory of CAPM
2. Address all tasks in previous section
3. Conclusion
4. Appendix (if any)

Attachment:- Applied Portfolio Management.rar

Reference no: EM132509237

Questions Cloud

Discuss some of goods or services that could be highlighted : What advantages do you think a concierge practice of medicine might contribute to the hospital's offerings of products to the community?

Definition of health important to health policy : Why is the definition of health important to health policy? Define the term "target population" as it relates to health policy.

Explaining the health assessment information : Explaining the health assessment information required for a diagnosis of your selected patient (include the scenario number). Explain how you would respond to.

Should be changing the corporate strategy on the issue : Are Western companies (retailers) responsible for the safety of the people working for the companies contracted by these brands?

AFIN3052 Applied Portfolio Management Assignment : AFIN3052 Applied Portfolio Management Assignment Help and Solution, Macquarie University - Assessment Writing Service - find the optimal portfolio by applying

Operate a subsidiary in spain : A German multinational is planning to operate a subsidiary in Spain. Which of the following is correct about the cost of capital for the subsidiary?

What are learned about change and the impact of change : In your previous lecture and readings, you learned about change and the impact of change. There are five steps to change. Name and discuss the five steps.

Write acceptable hypothesis statement : Write an acceptable hypothesis statement to test if the spread of the corona virus is affected by people wearing face-masks in public.

Was family with you during hospital stay or outpatient visit : Was your family with you during this hospital stay or outpatient visit? Was your family included in your treatment, such as post-procedure instructions?

User Account

All Pages