Create multiple portfolios standard and poor mid cap, Financial Accounting

Assignment Help:

In this project you will use your many skills to create multiple portfolios, using the Standard and Poor's Mid Cap 400 as your dataset.

First, construct an index fund using a stratified sample of 100 stocks from the Mid Cap 400. Follow the selection process we used in class, sorting by size and P/B. Be sure to use the random numbers in your data file as the random numbers to select your stocks. Use the weight of the 20th largest stock as your threshold for stocks that have to be selected, as discussed in class.

Note: Stocks with no P/B value should be treated as extreme growth stocks.

2. Be within 10% of the average market cap, average P/B and sector weights. What is your minimized tracking error value?

Now change your range from 10% to 5% and reoptimize. What is your new optimized tracking error? Is the new value larger or smaller? Explain your result (put it directly on your Excel sheet).

Now switch to an "index-plus" portfolio. The goal here is to be mindful of tracking error, but to also try to add some utility by overweighting the portfolio with stocks that have positive alphas 2. Be within 10% of the average market cap, average P/B and sector weights. What is the maximized value of your utility function? 

Now remove the restriction of all weights being greater than or equal to zero and reoptimize. What is your new maximized utility value, and which stock have the biggest positive and negative weights?

Be sure that your sampling technique is correct. Errors in sampling will cause more errors in your later analysis.


Related Discussions:- Create multiple portfolios standard and poor mid cap

The notes to the accounts-financial statement, THE NOTES TO THE ACCOUNTS ...

THE NOTES TO THE ACCOUNTS The notes to the accounts provide additional information on the a/c policies that the company has adopted the make-up of some of the items appearing on

Illustrate the new rules of sec, New Rules SEC i) Effective for years a...

New Rules SEC i) Effective for years after December 15, 2006 ii) New Disclosures mandated (1) Fair value of options on grant date (2) Value of grant per 123R (3) Cl

Calculation of leverage ratios, Calculation of Leverage ratios  - ...

Calculation of Leverage ratios  -                     2008 2009 2010 U EBIT or Oper

Prepare a purchases ledger control account, Question: The following inf...

Question: The following information was extracted from the books of William Noel for the year ended 30 April 2009.

What to debit and credit?, My company agreed to clean a store for $1,375 pe...

My company agreed to clean a store for $1,375 per month. A check for $700 was received from the store as a deposit. What do I need to debit and credit in a general ledger?

Corporate enterprise group, Q. Corporate Enterprise group? In order to ...

Q. Corporate Enterprise group? In order to have better and systematic participation of labour in management for improvement in working of Railway system and appropriate changes

Financial accounting theory, accountability through conceptual framework in...

accountability through conceptual framework in australia eassy on this topic with research

Stock turnover rate, Calculate  Stock turnover rate The total ave...

Calculate  Stock turnover rate The total average number of times each year which stocks is "turned over" in the terms and course of trading activity. Stock turnover rate

Show calculation of project net present value, Q. Show Calculation of proje...

Q. Show Calculation of project net present value? Sensitivity of NPV to sales volume Sales volume giving zero NPV = ((50000/3·605) + 10000)/1·35 = 17681 units This i

Assignments of book debts-bankruptcy and liquidation, Assignments of book d...

Assignments of book debts The trustee can set aside an assignment of existing or future book debts, whether absolute or by way of charge, unless the assignment was registered a

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd