Finc5001
The University of Sydney
Finance Discipline
FINC 5001 Capital Markets & Corporate Finance
Major Assignment
Final Report Due Date: By 9am, Monday 29 April, 2013
Different perspectives on risk and return
This assignment requires you to examine different approaches for determining the expected risk and return of a two stock portfolio. Each group will need to choose two companies listed on the Australian Securities Exchange (ASX) from an Excel spreadsheet (provided on Blackboard). Using data that the group collects, which must include data from March 2013, you will be required to examine the risk and return profiles of various portfolio combinations of these two stocks. Failure to use recent data that includes March 2013 will result in a mark of zero. The group will then be required to make a decision about which portfolio to invest in, and justify that decision with reference to appropriate academic literature.
Note: You may wish to read articles from the academic literature. These are available in Fisher Library. The top academic finance journals in the world that influence practice and research are Financial Analysts Journal, Financial Management, Financial Review, Journal of Banking and Finance, Journal of Business, Journal of Business Finance and Accounting, Journal of Financial and Quantitative Analysis, Journal of Finance, Journal of Financial Research, Journal of Portfolio Management, Review of Financial Studies. Academic journals that are more likely to contain Australian content are Pacific Basin Finance Journal, Accounting and Finance, Australian Journal of Management and ABACUS.
Specific Requirements:
1. Mean-Variance Approach a. Calculate the expected return and standard deviation for each of the two stocks the group has chosen. Be sure to justify your choice of data for these calculations using a mean-variance approach. b. Construct a series of portfolios of the two stocks by varying the weights of each at 2.5% intervals (i.e. starting at
Finance Discipline
FINC 5001 Capital Markets & Corporate Finance
Major Assignment
Final Report Due Date: By 9am, Monday 29 April, 2013
Different perspectives on risk and return
This assignment requires you to examine different approaches for determining the expected risk and return of a two stock portfolio. Each group will need to choose two companies listed on the Australian Securities Exchange (ASX) from an Excel spreadsheet (provided on Blackboard). Using data that the group collects, which must include data from March 2013, you will be required to examine the risk and return profiles of various portfolio combinations of these two stocks. Failure to use recent data that includes March 2013 will result in a mark of zero. The group will then be required to make a decision about which portfolio to invest in, and justify that decision with reference to appropriate academic literature.
Note: You may wish to read articles from the academic literature. These are available in Fisher Library. The top academic finance journals in the world that influence practice and research are Financial Analysts Journal, Financial Management, Financial Review, Journal of Banking and Finance, Journal of Business, Journal of Business Finance and Accounting, Journal of Financial and Quantitative Analysis, Journal of Finance, Journal of Financial Research, Journal of Portfolio Management, Review of Financial Studies. Academic journals that are more likely to contain Australian content are Pacific Basin Finance Journal, Accounting and Finance, Australian Journal of Management and ABACUS.
Specific Requirements:
1. Mean-Variance Approach a. Calculate the expected return and standard deviation for each of the two stocks the group has chosen. Be sure to justify your choice of data for these calculations using a mean-variance approach. b. Construct a series of portfolios of the two stocks by varying the weights of each at 2.5% intervals (i.e. starting at
References: - Appendices