# Portifolio analysis | Economics homework help

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

efficient 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

(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 efficient and which are inefficient. For each

of the inefficient 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 efficient portfolio with 17%

expected return.

2

You are eager to impress so you send the results to your new boss just before you

notes that the risk of the portfolio is a little higher than she expected and wondered if

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 offer to do the analysis again with the

additional asset (gold) included in the portfolio. Using the additional gold index data in

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 of the MVP.

(e) Determine and report the new portfolio weights for the efficient portfolio with

17% expected return.

(f) Calculate and report the reduction in risk of the 17% returning efficient

portfolio that can be achieved by adding gold to the portfolio.

You inform your boss of these findings and she is happy with the addition of gold to the

portfolio and the reduction in risk. However, she informs you that the 15% returning

portfolio you have constructed is not as ‘efficient’ as it might be as you have forgotten all

about the risk-free asset… oops! You quickly do some research and determine that the

appropriate risk-free rate to use is 1% per annum. Perform the following tasks to adjust

3. (a) Construct and plot the MVS (with short sales allowed) for the five asset

classes and gold plus the risk-free asset paying 1%.

(b) Identify the tangency portfolio, i.e. report its portfolio weights, expected return,

and variance of returns. Furthermore, illustrate its tangency property

graphically by plotting the MVS from 2.(c) on the same set of axes.

(c) Determine and report the new portfolio weights for the efficient portfolio with

17% expected return.

(d) Calculate and report the reduction in risk of the 17% returning efficient

portfolio that can be achieved by adding the risk-free asset bond to the

portfolio of six risky assets.

3

A little embarrassed from your mistake of not including the risk-free asset, you send the new

updated results to your boss at 4:50pm. She is impressed with your efficiency as well as the

efficiency of the portfolio. However, she hasn’t quite finished with you just yet! She is

worried about the need to short sell certain asset classes in the currently proposed

portfolios. Many of the firm’s clients do not like, and some do not allow, short selling in their

portfolios. Therefore, your boss wants you to investigate the effect a no short sales

constraint will have on the MVS without a risk-free asset and any subsequent investment

decisions. To do this you are asked to perform the following tasks:

4. (a) Construct and plot the risky asset only MVS with no short sales allowed for

the five asset classes plus gold. (Recall you will need Solver to do this.)

(b) Plot the MVS for the unconstrained problem—found in 2.(c)—on the same set

of axes. Also, indicate the positions of the five asset classes plus gold.

(c) List the portfolio weights for all the data points used in constructing your no

short sales allowed graph.

(d) Identify and report the range of expected returns for which the short sales

con-straint is not binding.

(e) Discuss the compositions of the portfolios at the end-points of the MVS with

no short sales.

## Calculate the price of your order

Choose an academic level, add pages, and the paper type you want.
To reduce the cost of our essay writing services, select the lengthier deadline.
We can't believe we just said that to you.

550 words
We'll send you the first draft for approval by September 11, 2018 at 10:52 AM
Total price:
\$26
The price is based on these factors:
Number of pages
Urgency
Basic features
• Free title page and bibliography
• Unlimited revisions
• Plagiarism-free guarantee
• Money-back guarantee
On-demand options
• Writer’s samples
• Part-by-part delivery
• Overnight delivery
• Copies of used sources
Paper format
• 275 words per page
• 12 pt Arial/Times New Roman
• Double line spacing
• Any citation style (APA, MLA, Chicago/Turabian, Harvard)

## Our guarantees

Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.

### Money-back guarantee

You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.

### Zero-plagiarism guarantee

Each paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.

### Free-revision policy

Thanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.

Your email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.

### Fair-cooperation guarantee

By sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.

## Why is Purdue Papers the Most Helpful Essay Writing Service for You?

1. Custom-written and plagiarism-free papers: Our authors create their work from scratch. Before presenting them to clients, we routinely verify them for signs of plagiarism. Our quality assurance group also double-checks and fixes any grammatical errors, assuring that all of our authors adhere to the same standards of writing.
2. The significance of timely delivery cannot be overstated, and we consistently strive to meet or exceed our clients' deadlines. Regardless of the short time frame, you can count on our writers to get the job done. We always have a team of writers ready to go, even if the deadline is only six hours away.
3. Customer Satisfaction: Our customer service representatives are the best in the business and have a wealth of knowledge in dealing with clients. All our customer service representatives are trained to listen and reply promptly until you are satisfied with their service. To ensure you're happy, our expert writers will strictly follow the criteria to generate a special report. Our customer service may be contacted by chat, email, or phone. In addition, we provide round-the-clock assistance to all of our clients.
4. Confidentiality: Our systems are safe, and your information is always protected. We're constantly looking for new facts when it comes to finishing your work. We use a safe and secure payment channel. Since our ordering process is completely anonymous, you don't have to provide any credit card information to place a purchase with us.
5. Highly Trained Authors: Our writers have received extensive training and are committed to delivering only the best papers. They are fluent in APA, MLA, HARVARD, IEEE, CHICAGO, and AMA referencing styles. To meet your expectations, our skilled writers always pay close attention to your instructions.
6. Lowered prices: We have set prices that are already discounted. Our prices are the best and affordable for all our esteemed customers.