Paper details:
\nPortfolio analysis
\nthe ten companies must be: Google, Yahoo, Apple, Facebook,YouTube,Twitter,PG&E,Yelp, Wells Fargo,Uber
\nMLA reference
\nClient #2015-03b: Internal tests of portfolio recommended to Kim & Rich, especially mean- variance portfolio optimization (6-10 pages, excluding appendices).
\nThe objective of this assignment is to apply mean-variance analysis to the portfolio of firms you put together for the couple of the previous assignment (Client 2009-02: Kim and Rich). These are the steps to follow according to internal company protocols:
\n1. The sample
\nBuild a sample of security returns for the recommended firms. You will need to a) obtain stock prices, monthly, for at least five years. You may get stock price quotes from http:\/\/www.yahoo.com. Then, you use EXCEL to calculate stock returns (see \u201creturns- calculations\u201d page in the aforementioned spreadsheet). Two formulas commonly used are rt = (pt – pt-1)\/ pt-1, and rt = ln(pt\/pt-1), where \u201cln\u201d stands for the natural logarithm.
\n2. Mean-variance
\na) Calculate mean-variance risk and return indicators (average returns, variances and
\ncovariances).
\nb) Calculate the tangent portfolio (see page \u201ctangent\u201d in ia-meanvar.xls).
\nc) Comment on the results \u2013you decide what merits comment.
\nd) Extra-credit: Calculate some optimal portfolios (short sales, and no short sales) and
\ndraw the efficient frontier. (See page \u201cqp-rp\u201d in ia-meanvar.xls).
\n3. Concentrate on the tangent portfolio for this part.
\na) Do optimal portfolio weights reflect the fundamentals you have observed? (That is,
\nexplain whether companies with strong fundamentals have large optimal portfolio
\nweights).
\nb) In general, do you think portfolio theory is useful?
\nc) In the particular case of your sample (time, economic situation, specific choice of
\nsecurities), do your think portfolio theory helps?<\/p>\n","protected":false},"excerpt":{"rendered":"
Paper details: Portfolio analysis the ten companies must be: Google, Yahoo, Apple, Facebook,YouTube,Twitter,PG&E,Yelp, Wells Fargo,Uber MLA reference Client #2015-03b: Internal tests of portfolio recommended to Kim & Rich, especially mean- variance portfolio optimization (6-10 pages, excluding appendices). The objective of Read More …<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"class_list":["post-237411","post","type-post","status-publish","format-standard","hentry"],"_links":{"self":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/237411","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/comments?post=237411"}],"version-history":[{"count":0,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/posts\/237411\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/media?parent=237411"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/categories?post=237411"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.benedictsol.com\/blogs\/wp-json\/wp\/v2\/tags?post=237411"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}