Sub: Finance Question:
Calculation of variance of portfolio.

Topic: Portfolio management

ClassOf1 provides expert guidance to College, Graduate, and High school students on homework and assignment problems in Math, Sciences, Finance, Marketing, Statistics, Economics, Engineering, and many other subjects.

Suppose there are three risky assets, A, B and C with the following expected returns, standard deviations of returns and correlation coefficients. E (rA)= 4% E (rB)=5% E (rC) =15% S.DEVA=5% S.DEVB=7% S.DEVC=10% A, B=0.7 A, C=-0.2 B,C=0.3

QUESTION 1: Solving for the Global Minimum Variance Portfolio Consider a world where there are no risk free assets, and just these three risky assets. Suppose short sales are permitted. Solve for the weights and variance of the global minimum variance portfolio. If short sales are not permitted is the solution affected?

Solution:

Global Minimum Variance Portfolio is that set of portfolios that will provide the minimum level of risk for a given level of expected return. Given a world with just the three given risk assets we can use the Solver function in Excel to ascertain the weights and variance of the global minimum variance portfolio. We have to calculate the Variance Covariance matrix for the given set of assets. While variance is given by the square of Standard Deviation and is thus entered as diagonal values in

www.classof1.com

*The Homework solutions from ClassOf1 are intended to help the student understand the approach to solving the problem and not for submitting the same in lieu of your academic submissions for grades.

Sub: Finance

Topic: Portfolio management

the matrix, Covariance is given by the product of correlation between two assets and the product of their respective standard deviations (correlation a,b x SD a x SD b) We then have to calculate the Portfolio Variance and Portfolio standard deviation. Using the variance-covariance matrix and “sum product” function in Excel and...

...choosing stocks and obtaining required data completes.
Graph 1.1
In order to make an optimal portfolio including risk-free and risky assets and correspond to “S&P 1500” which derives from America, one type of US T-bill(10 years) is a relatively preferable option，which is a general index in financial markets and acts stable among the ten years. Therefore, T-bill is the selected risk-free asset for this portfolio. It should be noticed that according to the financial markets’ regulation, all of the data above all is disposed by annual, which aims to keep the data of portfolio more accurate and be easier to analysis.
Through the well-prepared data, firstly, it should calculate the mean (the average return of each stock by month: R) according to the Excel function of Average, which is one part of formula about risky assets:
Expected Return E(R) = W1R1 + W2R2 + .....+ WnRn
Wn =the weight of each asset
Rn = the expected return for asset n
Formula 1.1
Meantime, the standard deviation is calculated by the Excel function of Stdv. so as to prepare for the further operation. Following that, the mean of the risk-free rate is also calculated through the function of Average, which can be seen as the average return of risk –free asset. Here, they are all the basis data of constructing the optimal portfolio.
Next, it is necessary to calculate the covariance of...

...Asset Selections: 6
Feedback & Control: 6
Assignment 2: 7
Transactions History 7
Portfolio Performance Vs. index Performance 9
1. Portfolio Performance vs. Dow Jones ETF Performance 10
Assignment 3 11
Portfolio Returns vs. Market Return 11
Assignment 1:
Introduction
Ayyad Co. is a financial institution, created by a group of five individuals investing their savings until their retirement age which is in 15 years. They decided to allocate USD 200,000 per person and then manage their portfolio by themselves to achieve their investment objectives. The purpose of this Investment Policy Statement is to establish guidelines for the Company’s investment portfolio. The statement also incorporates investment objectives that will be used for monitoring the progress of the Portfolio’s investment program.
Investment Objectives:
The investment objectives which are set by the company board of directors can be described by the following:
1- Annual absolute rate of return equal to 12%.
2- 2% higher than the composite benchmark consisting of market indexes weighted according to the expected target asset allocations stipulated by the Portfolio’s investment guidelines.
Risk Policy
1. Diversification: across and within asset classes is the primary means by which the company expects the Portfolio to avoid undue risk of large losses over long time periods. To protect the...

...Investment Opportunity Set and the Efficient Frontier (Lecture 3) 1. Consider two securities for the potential portfolio inclusion: E(r1)=25%,E(r2)=10%, 1=75%, 2=25%, 12 Draw all feasible investment combinations given these two risky assets in a plane of P, E(rp)} in Excel for four cases: (1) 12 =1, (2) 12 = 0.2, (3) 12 = - 0.2, (4) 12 = -1. What does the Efficient Frontier look like?
1
Part of this practice problem is constructed based on the homework assignment by Professor Schaumburg at Kellogg School of Management where I was visiting during my sabbatical leave in Fall 2005.
2. Consider three securities for the potential portfolio inclusion:
Expected Returns
Asset A Asset B Asset C
0.05 0.1 0.15
Asset A Asset B Asset C
Return Covariance Matrix Asset A Asset B Asset C 0.04 0.02 0 0.02 0.1 0.06 0 0.06 0.16
Draw all feasible investment combinations given these three risky assets in a plane of P, E(rp)} in Excel for two cases: (1) Short-selling is allowed, (2) Short selling is prohibited. What does the Efficient Frontier look like? 3. Construct a portfolio which has the expected return of 14% and resides on the efficient frontier generated from Q2 in Part II in these two cases. How do you construct such a portfolio and what is its return variance? 4. Given a risk-free rate of 4%, how do you construct the optimal risky portfolio, the tangency...

...Assignment Portfolio Theory and Management
Individual Assignment
Introduction
This report exams the performance of fund 49 from different perspectives. Then, I composed a portfolio for client Jim using fund 49 and other four asset classes. The report contains five parts, first part identifies the style of fund 49 and pick out its corresponding benchmark. Second part conducts performance evaluation by different ratios. Third part compares fund 49 and fund 50 from different aspects. Forth part exams whether Jim’s objectives under some assumptions can be achieved or not and also provides possible alternative scenarios to him.
1. If we want to know the fund style, we should use different style benchmarks to exam what my fund style is. Usually, according to factor model, we should run regression between Rf and six benchmarks together and exam the relationship between my fund and six benchmarks. Then we constrain α=0, Ʃβi=1 and 0<βi<1. So picking out the largest and most significant β is the way to define the fund style.
Rf=α+βL-B*FL-B+βL-G*FL-G+βL-V*FL-V+ΒM/S-B*FM/S-B+ΒM/S-G*FM/S-G+ ΒM/S-V*FM/S-V+ Ɛ
Unlike U.S financial market which contains substantial difference between value and growth, in Australian, the different styles have high correlation with each other.
So we can just use Jensen measure involves running regressions between six different Australian Equity Benchmarks less risk free rate (cash) and my fund 49 less...

...the managed portfolio over the investment period, from the 12th March to the 11th of May 2012 being a period of nine trading weeks. This portfolio performance evaluation report is prepared to determine whether the portfolio had any abnormal performance and this could be done by better market timing as well as good stock selections by investors, by being able to identify whether the stock is over-performed or under-performed. Myportfolio will be assessed in terms of breath and depth followed by looking only at the depth of the performance of my portfolio. Depth is the size of the magnitude of the abnormal or excess returns earned by the manager, which is the ability to earn “above-average” returns whereas breadth refers to the number of different securities for which the manager can generate excess returns. This means that the ability to completely eliminate all non-systematic risk relative to the portfolio’s benchmark. The measurement of depth and breadth could be obtained through the regression analysis as well as risk adjusted performance measures, which would be the Capital Market Line (CML), Capital Allocation Line (CAL), the Sharpe Ratio and the M2 index. The depth of the portfolio is done by looking at the portfolio’s Security Characteristics Line (SCL) and the R2 together with the discussion of the slope and intercept and statistical significance. The Treynor Measure and the...

...BOURNEMOUTH UNIVERSITY
International Investment Management
Mid-term Assignment
Submitted by: Anindyta Ayu Indhriawati
25/03/2014
Submitted to: Dr Charalampos Stasinakis
The purpose of this paper is to examine the relevance from the modern portfolio theory to the global investment market. Some of the questions that related to the use of techniques about the portfolio theory and it’s relation to risk and return will be discussed in terms of solving the complexity of the portfolio problems faced by investor and how to make a decision based on the investment analysis.
By choosing 5 random company’s stocks for one month period under the FTSE100 that taken from yahoo finance, hence expected to answer about the uncertainty regarding investment in portfolio. The companies are Melrose Industry Plc, BP Plc, Vodafone Group Plc, GlaxoSmithKline Plc (GSK), and Kazakhmys Plc. The used data was the daily closing price data for January 2014.
Table 1 Daily stock price from 5 companies under FTSE 100
Source: Yahoo Finance (2014)
From the data taken it shown the historical stock price for each company. Furthermore, daily stock price data will be used for counting daily return to have the final average return. Daily return can be obtained by calculation with the following:
Daily return for the first trading day will be...

...Voorblad
Inhoudsopgave
1.0 Evaluation of two presentations 3
1.1 First presenter and topic 3
1.2 Summary 3
1.3 Praise and critique 4
1.4 Second presenter and topic 4
1.5 Summary 4
1.6 Praise and critique 5
2.0 Own presenation 5
2.1 Article name 5
2.2 Article summary 5
3.0 Evaluation of a debate 5
3.1 Opening vote 5
3.2 Summary of arguments 5
3.3 Own opinion 5
3.4 Final Vote 5
4.0 Two TV reports 5
4.1 Tv report: 6
4.2 Tv report: 6
5.0 Two Ted reports 6
5.1 Ted report: 10 top time-saving tech tips (david Pogue) 6
5.2 Ted report: 6
6.0 Self evalution 6
7.0 Course evalution 6
1.0 Evaluation of two presentations
1.1 First presenter and topic
The first presentation I’m discussing is the one of Puck Visser. The topic of her presentation was body language. During the presenation she gave the audience some tips and tricks on how to use your body language while presenting.
1.2 Summary
Firstly, Ms Visser started the presentation by stating: “Body language is very important in a presentation.” Audiences start making judgments the moment you begin your presentation. She noted the following steps: start your presentation with style, dress to match the occasion and look confident. These are one of the most important steps.
Secondly, Ms Visser talked about the importance of movement and placement of your hands. She gave the following examples: holding your arms behind your back looks...

...A PROJECT REPORT ON
PORTFOLIOMANAGEMENT
AT
SHAREKHAN LTD
HYDERABAD
A PROJECT REPORT SUBMITTED TO
[pic]
OSMANIA UNIVERSITY
HYDERABAD
IN PARTIAL FULFILLMENT OF THE REQUIREMENTS
FOR THE AWARD OF THE DEGREE IN
MASTER OF BUSINESS ADMINISTRATION
SUBMITTED
BY
SAFIA MOHAMMADI
1238-11-672-015
VILLA MARIE PG COLLEGE FOR WOMEN
SOMAJIGUDA- 82
2011-2013
By
DEPARTMENT OF BUSINESS ADMINISTRTION
VILLA MARIE POST GRADUATE COLLEGE,
SOMAJIGUDA
(Affiliated to Osmania University)
2011-2013
DECLARATION
I SAFIA MOHAMMADI student of Master of Business Administration, VILLA MARIE PG COLLEGE FOR WOMEN, hereby declare that the project report entitled “PORTFOLIOMANAGEMENT” has been carried out at “SHAREKHAN LTD” and submitted in partial fulfillment for the “Master’s Degree in Business Administration” in the result of my own work and is original.
I have not submitted this project to any other university or...

12906 Words |
70 Pages

Share this Document

{"hostname":"studymode.com","essaysImgCdnUrl":"\/\/images-study.netdna-ssl.com\/pi\/","useDefaultThumbs":true,"defaultThumbImgs":["\/\/stm-study.netdna-ssl.com\/stm\/images\/placeholders\/default_paper_1.png","\/\/stm-study.netdna-ssl.com\/stm\/images\/placeholders\/default_paper_2.png","\/\/stm-study.netdna-ssl.com\/stm\/images\/placeholders\/default_paper_3.png","\/\/stm-study.netdna-ssl.com\/stm\/images\/placeholders\/default_paper_4.png","\/\/stm-study.netdna-ssl.com\/stm\/images\/placeholders\/default_paper_5.png"],"thumb_default_size":"160x220","thumb_ac_size":"80x110","isPayOrJoin":false,"essayUpload":false,"site_id":1,"autoComplete":false,"isPremiumCountry":false,"userCountryCode":"US","logPixelPath":"\/\/www.smhpix.com\/pixel.gif","tracking_url":"\/\/www.smhpix.com\/pixel.gif","cookies":{"unlimitedBanner":"off"},"essay":{"essayId":34881751,"categoryName":"Periodicals","categoryParentId":"17","currentPage":1,"format":"text","pageMeta":{"text":{"startPage":1,"endPage":3,"pageRange":"1-3","totalPages":3}},"access":"premium","title":"Portfolio Management: Calculation of Variance of Portfolio","additionalIds":[3,7,52,5],"additional":["Business \u0026 Economy","Education","Business \u0026 Economy\/Organizations","Computer Science"],"loadedPages":{"html":[],"text":[1,2,3]}},"user":null,"canonicalUrl":"http:\/\/www.studymode.com\/essays\/Portfolio-Management-Calculation-Of-Variance-Of-706993.html","pagesPerLoad":50,"userType":"member_guest","ct":10,"ndocs":"1,500,000","pdocs":"6,000","cc":"10_PERCENT_1MO_AND_6MO","signUpUrl":"https:\/\/www.studymode.com\/signup\/","joinUrl":"https:\/\/www.studymode.com\/join","payPlanUrl":"\/checkout\/pay","upgradeUrl":"\/checkout\/upgrade","freeTrialUrl":"https:\/\/www.studymode.com\/signup\/?redirectUrl=https%3A%2F%2Fwww.studymode.com%2Fcheckout%2Fpay%2Ffree-trial\u0026bypassPaymentPage=1","showModal":"get-access","showModalUrl":"https:\/\/www.studymode.com\/signup\/?redirectUrl=https%3A%2F%2Fwww.studymode.com%2Fjoin","joinFreeUrl":"\/essays\/?newuser=1","siteId":1,"facebook":{"clientId":"306058689489023","version":"v2.8","language":"en_US"},"analytics":{"googleId":"UA-32718321-1"}}