please read the instructions carefully. answear all questions. please make use of stata. submit one Stata do file, which re-produces all the analysis/results, for both questions, including calculations, estimation and graphs. please make use of the correct VaR calculations... Document Preview: Keele Management School FIN-40010 Quantitative Methods in Finance Midterm Re-Assessment - Portfolio Submission date: TBC Answer both questions. Your portfolio should be submitted to the School Oce no later than 3:00pm on the submission date. Answers to the above tasks/questions should be provided using graphical, math- ematical and statistical methods. Submit ONE stata do le, which re-produces all the analysis/results, for both questions, including calculations, estimation and graphs. Marks will be awarded/deducted for presentation as well as content. Investment portfolios cannot be identical (or similar) between two students. Word limit: 2,000 words including appendices but excluding tables and g- ures. 1 1. Suppose you have $100,000 to invest. Construct an investment portfolio (in stock) of three (3) energy companies traded in the London Stock Ex- change (FTSE 100). Provide a very brief description of each company in the portfolio. (a) Comment on the monthly performance of the portfolio over the last two (5) years. [10 Marks] (b) Comment on the risk associated with investment in each asset of the portfolio. [10 Marks] (c) Comment on the risk associated with investment in the portfolio. [15 Marks] (d) Calculate the 1% Value-at-Risk (VaR) for the best performing asset of your portfolio. [15 Marks] 2. Estimate the company (beta) for each of the companies in your portfolio. [20 Marks] (a) Provide a detailed description and justication of your workings. [10 Marks] (b) Comment on the estimated betas. [10 Marks] (c) Test the statistical signicance and interpret the estimated (alpha) for each of the assets in both portfolios. [10 Marks] 2 Attachments: quantitative-....pdf
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