3 views

Uploaded by odc_hernandez

asdfasdfad

- uChart1
- Modal Pricing
- Standard Deviation and Variance
- Ps CAPM Solutions
- DRA-HW 5
- Guía para el aseguramiento de la calidad y la estimación de la incertidumbre del muestreo
- OurCampus! (1)
- 1482256630
- Keep 215
- JFE 99 53 3-2 Understanding the Determinants of Managerial Ownership and the Link Between Ownersh
- PRBSTAT
- 807
- FIN3483_Chapter 2_Risk and Return
- Non ties
- Detailed Lesson Plan in Assessment of Learning 1
- Risk in Return for Basic Finance
- Laborinterne Qualitaetskontrolle Trollbuch Stand 131024
- The Effect of Taping Versus Semi-rigid Bracing on Patient Outcome and Satisfaction in Ankle Sprains- A Prospective, Randomized Controlled Trial
- Security Analysis and Portfolio Management
- Modul K2 Bahagain 1

You are on page 1of 4

Economics Department

Group Project 1

Term/ Year: 1st Term/ AY 2015-2016

Subject: Subject Name: Applied Investments (SPECTO2)

Faculty: Maria Francesca Tomaliwan

OBJECTIVE AND REMINDER

1) This is a group assignment. You are not allowed to consult with nor be consulted by your classmates from

other groups. A single grade will be given for reports that are suspected to be copies of each other. This grade

will be equally divided among the students of the groups suspected to have copied from each other. Please refer

to your class lecture notes, extra handout and required textbook for details on the background theory.

2) ANY member of the group would be asked to present or discuss his/her groups solutions in class on November 5,

2015 (Thursday).

3) The objective is to gain a deeper understanding of portfolio selection criteria and gain hands-on experience to

derive (i) the minimum variance portfolio, (ii) the optimal portfolio of risky assets, and (iii) the optimal balanced

portfolio (combination of a set of optimal risky assets and a risk-free asset).

WEIGHT

1) This assignment is a compulsory component of the course. This contributes to 15% of your total grade.

SUBMISSION

All groups should submit the following:

1) an Excel file to support the project and 2 Word files 1) to answer the project questions and 2) cover sheet with

your group members names and signatures. Submit these electronically to my email addresses

(cessytomaliwan@yahoo.com and maria.francesca.tomaliwan@dlsu.edu.ph) before 6:00am on November 5,

2015 (Thursday). The excel file name must contain the course subject and surname of group members. For

example, if the group consists of 3 members: Jesus Cruz, Mary Reyes and Joseph Santos, the file name should be:

SPECTO2-Cruz, Reyes, Santos.xls

SPECTO2-Cruz, Reyes, Santos.doc

Use the same file name as a heading for your email as well such as SPECTO2-Cruz, Reyes, Santos

4) Late submissions will not be accepted nor given any credit.

FORMAT

1) All answers in the Word File should follow the following format:

Font type:

Times New Roman

Font size:

11

Margins:

1-inch (left, right, top, & bottom)

Spacing:

1.5 spacing

2) Present your answers in summarized form, making sure that the necessary explanations for your answers are

indicated where appropriate. Dont just paste answers from your calculated Excel outputs and graphs without

any explanation.

DATA AND EXCEL SOLVER

1) You are given 8 stocks to construct a number of portfolios of risky assets and optimal balanced portfolios. They

are: A, B, C, D, E, F, G and H. For each stock, 15 years of daily stocks prices (1 Jan 1996 to 31 Dec 2010). The data

covers periods of stock market boom and bust. Additionally, for each stock you are given data on the dividend

payment. In the Excel file provided, 1 sheet is given for daily stock prices and another sheet for dividend

payment.

2) To be uniformed, let us not compute the returns via excess returns. Calculate returns reported as total returns for

the sake of uniformity and simplicity.

3) The solver function in Excel can be quite sensitive to the starting values. Due to this drawback, I advise you to set

the weight so that the portfolio is equally weighted portfolio before each and every computation that involves the

Excel Solver function to avoid any disagreement with the suggested answers for grading purpose.

PROJECT QUESTIONS

Question A:

1)Discuss the procedure of calculating the stock return. What are the things you have adjusted? Explain why it is

necessary. (Remember: Calculate returns reported as total returns, No need for excess returns.)

2)Show your variance-covariance matrix of the 8 stocks based on historical daily stock returns. Discuss the

procedure of your calculation.

Question B:

Assume that short selling in stocks IS ALLOWED, use the solver function in Excel to locate the global minimum

variance portfolio (GMVP) of 8 risky assets using daily stock returns.

1) Report the objective function (state in one sentence), the step that you need to take in order to achieve

the objective (another sentence) and the constraints (another set of sentence with one sentence per

constraint) that you must satisfy as per details required by the Excel Solver dialogue box.

2) Report the composition of the minimum variance portfolio (to 4 decimals) based on daily stock returns

as per the following format:

Stocks

Weights

A

B

C

D

E

F

G

H

3) Report the standard deviation of the GMVP (in percentage values and up to 4 decimals) based on the

portfolio created in (1) and (2).

Question C:

Assume that short selling in stocks IS NOT ALLOWED, use the solver function in Excel to locate the global minimum

variance portfolio (GMVP) of 8 risky assets using daily stock returns.

1) Report the objective function (state in one sentence), the step that you need to take in order to achieve

the objective (another sentence) and the constraints (another set of sentence with one sentence per

constraint) that you must satisfy as per details required by the Excel Solver dialogue box.

2) Report the composition of the minimum variance portfolio (to 4 decimals) based on daily stock returns

as per the following format:

Stocks

Weights

A

B

C

D

E

F

G

H

3) Report the standard deviation of the GMVP (in percentage values and up to 4 decimals) based on the

portfolio created in (1) and (2).

Question D:

Assume short-selling IS ALLOWED, use solver function to locate another portfolio in your MVP of 8 risky assets that

has targeted expected return of 8.5% using daily stock returns.

1) Report the objective function (state in one sentence), the step that you need to take in order to achieve

the objective (another sentence) and the constraints (another set of sentence with one sentence per

constraint) that you must satisfy as per details required by the Excel Solver dialogue box.

2) Report the composition of the minimum variance portfolio (to 4 decimals) based on daily stock returns

as per the following format:

Stocks

Weights

A

B

C

D

E

F

G

H

3) Report the standard deviation of the portfolio in the MVP (in percentage values and up to 4 decimals)

based on the portfolio created in (1) and (2).

Question E:

Assume short-selling IS NOT ALLOWED, use solver function to locate another portfolio in your MVP of 8 risky assets

that has targeted expected return of 8.5% using daily stock returns.

1) Report the objective function (state in one sentence), the step that you need to take in order to achieve

the objective (another sentence) and the constraints (another set of sentence with one sentence per

constraint) that you must satisfy as per details required by the Excel Solver dialogue box.

2) Report the composition of the minimum variance portfolio (to 4 decimals) based on daily stock returns

as per the following format:

Stocks

Weights

A

B

C

D

E

F

G

H

3) Report the standard deviation of the portfolio in the MVP (in percentage values and up to 4 decimals)

based on the portfolio created in (1) and (2).

Question F:

Assume short-selling IS ALLOWED

1) Use Excel to construct the efficient frontier of portfolio that consists all 8 stocks based on daily stock

returns. Discuss the procedure youve done in order to be able to get the variables needed to form your

efficient frontier.

2) Plot the efficient frontier. Note that both expected return (strictly speaking, it should be realized

historical return) and standard deviation must be in decimal values and up to 5 decimals.

Question G:

Assume short-selling IS ALLOWED and the risk-free rate is 2.157% for the entire holding period.

1) Compute the tangency portfolio. Report the objective function (state in one sentence), the step that you

need to take in order to achieve the objective (another sentence) and the constraints (another set of

sentence with one sentence per constraint) that you must satisfy as per details required by the Excel

Solver dialogue box. Discuss how you went with the procedure.

2) Report the composition of the tangency portfolio (to 4 decimals) based on daily stock returns as per the

following format:

Stocks

Weights

A

B

C

D

E

F

G

H

3) Report the portfolio return, and standard deviation. Are there any negative weights in this portfolio? If

so, interpret them.

Question H:

Assume short-selling IS ALLOWED

1) Discuss the procedure on how you were able to get your complete portfolio.

2) Plot the efficient frontier you found in Question (F) the efficient frontier of the MVS portfolios

together with the CAL or portfolios that are combinations of the risk-free asset and the tangency

portfolio you found in Question (G).

3) Discuss the weights to be allocated in tangency portfolio and risk free asset based on the graph in

number (2). What made you decide to have these weights?

4) Report the composition of the complete portfolios risky assets weights (to 4 decimals) based on daily

stock returns as per the following format:

Stocks

Weights

A

B

C

D

E

F

G

H

Question I:

1) Explain why investors with different view of risk may choose to invest in different section of the CAL.

- uChart1Uploaded byChetan Metkar
- Modal PricingUploaded byirPaaannn
- Standard Deviation and VarianceUploaded byIzi
- Ps CAPM SolutionsUploaded byShahab Aftab
- DRA-HW 5Uploaded byOm Lalchandani
- Guía para el aseguramiento de la calidad y la estimación de la incertidumbre del muestreoUploaded byCarlos Roque
- OurCampus! (1)Uploaded byRicha Mahecha
- 1482256630Uploaded byPincheira D. Felipe
- Keep 215Uploaded bysagar
- JFE 99 53 3-2 Understanding the Determinants of Managerial Ownership and the Link Between OwnershUploaded bygusisi
- PRBSTATUploaded byCrizoe L. Rodillo
- 807Uploaded byIrma Mahrifa
- FIN3483_Chapter 2_Risk and ReturnUploaded byDivya Nandini
- Non tiesUploaded bymuneerpp
- Detailed Lesson Plan in Assessment of Learning 1Uploaded byEller-jed M. Mendoza
- Risk in Return for Basic FinanceUploaded byAlec Kim P. Santos
- Laborinterne Qualitaetskontrolle Trollbuch Stand 131024Uploaded byFreone
- The Effect of Taping Versus Semi-rigid Bracing on Patient Outcome and Satisfaction in Ankle Sprains- A Prospective, Randomized Controlled TrialUploaded bySyahdema
- Security Analysis and Portfolio ManagementUploaded byMarcMataixISanjuan
- Modul K2 Bahagain 1Uploaded byMarlina Mohamed
- 5146-20026-1-PBUploaded bystudentul1986
- Topic05.Normal DistrUploaded byDavid Le
- Betting Against BetaUploaded bymhaftel
- 10 Tips for Successful Six Sigma ProjectUploaded byGood Liffe
- Chapter 10Uploaded byESTER GRACIA
- Betting Against BetaUploaded byXad3r
- A Study and Analysis of Diversification - Robert Paul EllentuckUploaded byRobert Paul Ellentuck
- Cochrane Efficient MarketsUploaded byecrcau
- D'Agostino 1971 - An Omnibus Test of Normality for Moderate and Large Size SamplesUploaded bysmartinsfilho
- CCP303Uploaded byapi-3849444

- xxxxxxxUploaded byodc_hernandez
- proracun11Uploaded byTazer
- gh33sUploaded byodc_hernandez
- xvbgnhnhnhmUploaded byodc_hernandez
- 5151515Uploaded byodc_hernandez
- xcvcvcvcvUploaded byodc_hernandez
- bbbbUploaded byodc_hernandez
- xbfwt43Uploaded byodc_hernandez
- pesodollar (3)Uploaded byodc_hernandez
- pesodollar (3)Uploaded byodc_hernandez
- Water Valuation.pdfUploaded byodc_hernandez
- MPIC_PFS1216 Metro Pacific Investment.pdfUploaded byodc_hernandez
- cvzcvUploaded byodc_hernandez
- uazzzzUploaded byodc_hernandez
- asdfUploaded byodc_hernandez
- lllllllllllllUploaded byodc_hernandez
- asdfasdfUploaded byodc_hernandez
- asdfasdfa23r23123Uploaded byodc_hernandez
- receipt - crowne plaza.pdfUploaded byodc_hernandez
- Main-Round-Case-2017.pdfUploaded byodc_hernandez
- Main-Round-Case-2017.pdfUploaded byodc_hernandez
- Annotated Outline DirectionsUploaded bySarah Giampietro
- Annotated Outline DirectionsUploaded bySarah Giampietro
- Sugarcane Farming Costs SRA.pdfUploaded byodc_hernandez
- PSEUploaded byRam-Ram Elocig
- 64456654564564645644646Uploaded byodc_hernandez
- 1123123Uploaded byodc_hernandez
- MPIC_PFS1216 Metro Pacific Investment.pdfUploaded byodc_hernandez
- m&aUploaded byodc_hernandez
- ddddUploaded byodc_hernandez

- NFJPIA BLT Mock BoardUploaded byJoshua Romeo Villar
- BondsUploaded byms.Ahmed
- 2018 i Iap Training CalendarUploaded byJunior Miic
- B-S MODELUploaded bysuganyababumba
- kpmg-guide-to-directors-remuneration-2015.pdfUploaded byjohnson
- project Report on Ketan Parekh ScamUploaded byKiran Patil
- imfUploaded byheyitsnik
- Function List Dm Erp607 en UsUploaded byJeson M Terry
- Valuation of Intangible AssetsUploaded byJorge Alberto Cerda
- 11_check List Sales Despatch and DebtorsUploaded bysunkrca1
- Wholesale Individual Application Form FINAL 1Uploaded byJhay Longakit
- research paperUploaded byapi-317623686
- Depository & Non-Depository Financial Institutions of BangladeshUploaded byProbortok Somaj
- SAP FICO Business Blue PrintUploaded byBen Victor
- FY 2010 Mayors BudgetUploaded byHelen Bennett
- Working Capital Management ProjectUploaded bySANTOSH
- BEGP2outUploaded bySainadha Reddy Ponnapureddy
- 2-C and C Commercial vs PNBUploaded byBreth1979
- Semester IV SyllabuxUploaded byShashi Kumar
- Personalized Bankruptcy ReportUploaded byDan Stevens
- Ubl presentationUploaded byMuhammad Ali
- MFI NCC Bank XL ReportsUploaded byRahman Said
- usersandusesoftheconsumerpriceinflationstatistics_tcm77-330921Uploaded byRichard Holliday
- Soalan Assignment Tax Bab 7 Sem 6Uploaded byVasant Sriudom
- F3 MockUploaded byjavedkaleem
- 06 Comparing AlternativesUploaded byReiVan
- Draey,+Aminah Animal+SpiritsUploaded byJosh2002
- Trade Finance Conventional Standard Tariff Schedule w GST - Final 0915 R2Uploaded byShamsulfahmi Shamsudin
- P21-4Uploaded byMike Thom
- Economic Survey Pakistan 2007-08-01Uploaded byIrfanRasheed