i need this project done in the next 8hrs a sample project is attached the data is different so dont copy if wrongly done or late be sure i will dispute bid only if you can handle You will find an Excel workbook called AssignmentData.xlsx which is needed to complete this assignment. It contains weekly index data for five asset classes and one in-dividual asset (Gold). Due to the reputation of Education Institution of America for producing work-ready graduates, you are head-hunted by a small asset management company to work parttime as a portfolio manager whilst you complete your degree. It is your first day on the job and your boss is keen to see how much you really know. She provides you with a list of five asset classes and tasks you and your team to investigate the e ffi cient asset allocation between these asset classes. Moreover, you are asked to satisfy a 17% expected return target on the portfolio you construct. To get started you decide to collect historical performance data for the last five years in order to estimate the expected return and variance-covariance structure of the asset classes (the data in the Excel file). To perform the asset allocation you decide to construct a minimum variance portfolio. You recall the 17% expected return target imposed by your boss and note that there was no mention of short-selling constraints. In order to construct this portfolio you should copy the assignment data into an Excel workbook and perform the following tasks/answer the following questions: 1. (a) Transform the index values into simple weekly returns (you do not need to report these in your submission). (b) Using the returns data, estimate (and report) the vector of expected returns for the five asset classes, as well as the variance-covariance matrix of these returns. These expected returns etc. should be annualized (i.e., in annual units). (c) Report which of the asset classes are e ffi cient and which are ine ffi cient. For each of the ine ffi cient asset classes, find another asset class that dominates it. (d) Compute and report the parameters A, B, C and . (e) Construct and plot the MVS (with short sales allowed) for expected (annual) returns ranging between ?10% and 35%. Your figure should also indicate the positions of the five asset classes. (f) Identify the global minimum variance portfolio (MVP), i.e. report the portfolio weights (in the five asset classes), expected return, and variance of the MVP. (g) Determine and report the portfolio weights for the e ffi cient portfolio with 17% expected return. 2 You are eager to impress so you send the results to your new boss just before you leave for your lunch break. Upon your return, the boss has looked at your report and notes that the risk of the portfolio is a little higher than she expected and wondered if adding an additional asset would help reduce the risk. Knowing all about diversification, you suggest that maybe adding an asset that has a low correlation with the existing five asset classes might help. Gold!, your boss exclaims. You have heard many stories about gold being a great diversifier and so you o ffer to do the analysis again with the additional asset (gold) included in the portfolio. Using the additional gold index data in the Excel spreadsheet, perform the following tasks: 2. (a) Using the same methodology as in Question 1 (simple returns etc.), reconstruct the vector of (annual) expected returns and the variancecovariance matrix for the five asset classes plus gold (i.e., six assets in total). (b) Compute and report the new A, B, C and parameters. (c) Construct and plot the new MVS (with short sales allowed) for expected (annual) returns ranging between ?10% and 35%. You should also plot the MVS from 1.(e) for comparison and indicate the positions of the five asset classes and gold. (d) Identify the new global minimum variance portfolio (MVP), i.e. report the port folio weights (in the six assets), expected return, and variance o…
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