Portfolio Investment Analysis.
Coursework BAF_ 6 _ PIA Business 2013 – 14 6 Portfolio Optimisation and Portfolio Performance M easurement This coursework is designed to illustrate the practical aspects of portfolio optimisation and the perf ormance measurement. This exercise involves the following tasks. 1. By doing the optimisation using Excel Solver, you are required to c onstruct a mean variance efficient portfolio frontier for any 10 randomly selected ordinary shares listed on a stock marke t. For all your calculations, you should use the 60 monthly returns, sample means, standard deviations, and covariance and correlation matrices. Plot the portfolio frontier and comment on the weights of the portfoli os along the portfolio frontier including in your discussion the correlations among the 10 shares. 2. By Identifying and combining a riskless asset with the 10 shares, plot the portfolio frontier and select the tangent portfolio on the portfolio frontier . Provide the rationale for your choice of t he riskless asset. 3. Assume that the short selling is not allowed, how your efficient frontiers would differ from those with short selling allowed in questions 1 and 2 above. 4. I dentify the appropriate benchmark index and critically evaluate the performance of the tangent portfolio selected above using various risk – adjusted portfolio performance measurement indices. Justify your choice of the benchmark index. 5. Comment on the limitation of your analysis and critically evaluate the gains in the performance of t he identified portfolio along with the associated risks from international diversification, particularly investment in the shares listed on emerging stock markets. You are expected to demonstrate the knowledge, understanding and effective use of the analy tical tools, underlying theory, and concepts taught in the lectures and seminars . Make sure that the random sample of shares for this exercise should be chosen by yourself and must not be borrowed or copied from any of your class mate s . You will be provide d with the instructions for using Excel Solver in one of the seminars. Submission Deadline: Tuesday , 6 May 201 4 Submitting your coursework Deadlines You must make sure that you submit your coursework by the publicised deadlines. It is your responsibility to make sure you’re aware of your deadlines. It is very important that you let us know if you’re unable to meet the deadline for submit ting your coursework, or if you won’t be able to attend an examination. If you can’t meet a deadline then you should contact your Faculty Office before the due date. Handing in at your Faculty Office You should complete : A Coursework Submission Form ; Hard copy of your course work ; A copy of the œTurn – It – In report ; and And a soft copy on a CD/USB The Faculty Office can get very busy during hand – in periods so to save time you should complete the Submission Form before you submit your c oursework. Your Faculty Office will date stamp your Coursework Submission Form and give you a receipt which you should put in a safe place as it’s your only proof of submission. Late Submission of written coursework Key points to note are: ? Late submis sion is only permitted for written coursework and dissertations. ? Late submission is permitted up to two weeks without extenuating circumstances. ? Undergraduate and Masters work is treated exactly the same. ? Work submitted late is marked as normal but the mar k given to the work is capped at the pass mark. The only exception to this is when a student has DDS arrangements in place. ? Work submitted more than two weeks late receives a capped mark of zero. ? There is no extension available for referred coursework. Ref erred coursework submitted late always receives a mark capped at zero. ? A cap on a mark can always be lifted if there are valid extenuating circumstances. Information on the extenuating circumstances procedure can be found on my.lsbu. If you are unable to hand in your work by the deadline you should complete the Late or Non Submission of Assessment Form available on my.lsbu. If you are registered with Disability & Dyslexia Support Your arrangements with Disability & Dyslexia Support (DDS) could include pr ovision for late submission of coursework. You should inform your Course Director or Year Tutor and make sure you fill out a Late or Non Submission of Assessment Form detailing that you have this arrangement in place.