Question Details

(Answered) Optimal portfolio


Requirements- 1500 words strict Download the spreadsheet from Blackboard that contains the monthly returns on five equity securities between January 2007 and July 2012. All returns are measured monthly, and are expressed in decimals (not percentages). The current risk-free rate is 3.5% per annum. Expected returns are to be calculated using a historical average over the full sample. Assume that utility functions are of the form: U = E(R)??As2. There are two investors. Harry has a risk aversion coefficient (A) of 5, and Eugene has a risk aversion coefficient of 12. You are required to determine the composition of the portfolio that will maximise each investor?s utility if there is unrestricted investment in the five stocks. You are also able to borrow and lend at the risk-free rate. You will need to undertake additional analysis to determine how the portfolio weights change if short-selling is not permitted. Furthermore, how do the portfolio weights change if the expected return is 1% per month for WOW and is 1% per month for RIO, rather than those estimated from historical returns? Report Structure Your report will need to address the following questions, at a minimum, ensuring you explain how you achieved the result:? What are the expected returns, variance and covariance estimates for the five stocks?? What are the optimal weights of the securities in each investor?s optimal portfolio under the different scenarios?? How do you determine these portfolio weights?? Discuss the differences in the weights among the different portfolios. Why do these differences exist?? Discuss the limitations of the mean-variance optimization to portfolio construction that your results identify.? Marks will be awarded for the clarity of your discussion and the structure of your report. Please use graphs and tables to support your discussion. Please paste a?picture? of your excel workings in an appendix to the report. Please do not include the raw data in the appendix. Please use 12pt font with 2cm margins and include all references in a bibliography. Excel spreadsheets need to be submitted via the link in Blackboard.
More Details:

Optimal portfolio

 


Solution details:
STATUS
Answered
QUALITY
Approved
ANSWER RATING

This question was answered on: Dec 18, 2020

PRICE: $18.50

Solution~00031147684017.zip (25.37 KB)

Buy this answer for only: $18.50

This attachment is locked

We have a ready expert answer for this paper which you can use for in-depth understanding, research editing or paraphrasing. You can buy it or order for a fresh, original and plagiarism-free copy (Deadline assured. Flexible pricing. TurnItIn Report provided)

Pay using PayPal (No PayPal account Required) or your credit card . All your purchases are securely protected by .
SiteLock

About this Question

STATUS

Answered

QUALITY

Approved

DATE ANSWERED

Dec 18, 2020

EXPERT

Tutor

ANSWER RATING

GET INSTANT HELP/h4>

We have top-notch tutors who can do your essay/homework for you at a reasonable cost and then you can simply use that essay as a template to build your own arguments.

You can also use these solutions:

  • As a reference for in-depth understanding of the subject.
  • As a source of ideas / reasoning for your own research (if properly referenced)
  • For editing and paraphrasing (check your institution's definition of plagiarism and recommended paraphrase).
This we believe is a better way of understanding a problem and makes use of the efficiency of time of the student.

NEW ASSIGNMENT HELP?

Order New Solution. Quick Turnaround

Click on the button below in order to Order for a New, Original and High-Quality Essay Solutions. New orders are original solutions and precise to your writing instruction requirements. Place a New Order using the button below.

WE GUARANTEE, THAT YOUR PAPER WILL BE WRITTEN FROM SCRATCH AND WITHIN YOUR SET DEADLINE.

Order Now