Type
Project
Length
4 pages for The written report (A4-size, double spaced, excluding references and appendices)
Submission
Written reports and Excel files submitted online
Requirements
Requirements for Project : Portfolio Construction
The task: The lecturer assigns 4 publicly listed stocks to each student. Students are required to download the most recent 5 years’ daily stock price for the assigned stocks, use Excel (particularly the Solver function) to construct the opportunity set, the minimum variance frontier, the global minimum variance portfolio, the efficient frontier, and the optimal risky portfolio. Students are required to download the most recent 5 years’ daily risk-free return for the economy where the stocks are listed, and construct the optimal complete portfolio for a client whose maximum acceptable level of risk is a standard deviation of 30% for his/her portfolio return.
Written report: Discuss the relevant information of the 4 stocks; discuss how you construct the required portfolios and frontiers. Your discussion should relate what you are doing in the project to what we have learned so far in the paper, particularly Chapters 5 and 6.
Excel file:
Store all the stock prices, risk-free rate, the composition of the required portfolios (the Excel functions used should be embedded in the Excel file), a graph showing all the required portfolios and frontiers. The Excel file should be professionally presented.
Programme learning goals
This assessment covers the following programme learning goals:
Be effective thinkers and problem solvers
Be effective communicators (written and oral)
Be able to apply finance knowledge to issues in professional finance practice
Paper learning outcomes
This assessment event measures paper learning outcomes 1, 2, and 5 stated above in the “Paper information” section.
Recommended reading
Bodie, Z., Kane, A., and Marcus, A.J. (2019). Essentials of Investments, 11 th Edition. McGrawHill/Irwin.
Recommended books:
Elton, E. J., Gruber, M. J., Brown S. J. and Goetzman, W. N., Modern Portfolio Theory and Investment Analysis, 6th Edition, John Wiley.
Fabozzi, F. J., Bond Markets, Analysis and Strategies, 5th Edition, Prentice Hall.
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