Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd
Upload
32 views

SAPM Assignment 1 Notice

This document outlines an assignment to construct optimal portfolios for two investors using Markowitz portfolio theory. Students are asked to: 1) Choose 7 unique firms from different industries 2) Download financial data and calculate returns for the firms 3) Find the minimum variance portfolio and efficient frontier 4) Determine the optimal asset allocation for investors aged 30 and 50 based on a rule relating allocation to risky assets and age Students must submit R/Excel code, a formatted report on their analysis and results, and be prepared for a viva voce evaluation.

Uploaded by

avi
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
32 views

SAPM Assignment 1 Notice

This document outlines an assignment to construct optimal portfolios for two investors using Markowitz portfolio theory. Students are asked to: 1) Choose 7 unique firms from different industries 2) Download financial data and calculate returns for the firms 3) Find the minimum variance portfolio and efficient frontier 4) Determine the optimal asset allocation for investors aged 30 and 50 based on a rule relating allocation to risky assets and age Students must submit R/Excel code, a formatted report on their analysis and results, and be prepared for a viva voce evaluation.

Uploaded by

avi
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 2

ECON F412/FIN F313: SECURITY ANALYSIS AND PORTFOLIO

MANAGEMENT

Assignment-1: Portfolio Optimization (15 marks)


Submission Date: 5th October, 2020 (Late submission will entail a 2 marks penalty)

Problem Statement:
Given a set of 7 firms, construct the optimal portfolio for two investors as prescribed by
Markowitz Portfolio Theory.

Steps:

1. Choose 7 firms, taking care to include a variety of industries.


Choose from this sheet of NSE-listed firms and fill your group number next to the
companies you have chosen to ensure that no 2 groups choose the same companies.
Ensure that the firms chosen are unique to each group.
2. Download the financial data for these firms for FY19 (1st April, 2018 – 31st March, 2019).
3. Calculate returns for these firms for this time period using the Single Index Model.
4. Using Markowitz Portfolio theory, find the Minimum Variance Portfolio and the efficient
portfolio curve.
5. Find the optimal asset allocation for 2 investors where:
Investor 1: 30 years old
Investor 2: 50 years old
Given the rule that the allocation to risky assets is given by:
100− Age of Investor

Software:
Use either R (recommended) or Excel.

To be submitted:
R/Excel files, along with a report (Word document) about the securities chosen and the results
found. Report should be well formatted with references. (2 marks will be deducted if the report is
not well-formatted). Students are expected to read other reports to understand the formatting
expectations and no separate communication regarding what constitutes a well-formatted report
will be entertained.

Link for submission:


https://drive.google.com/drive/folders/1b8nYOy1VIqPxrGTy4nr9Q4impT0Edznt?usp=sharing

File name (zipped file with R/excel output and the report) should be Group No. only. The first
page should have the name and IDs of all the group members. 1 mark will be deducted if the file
name or the name and IDs of students are missing.
Viva:
There will be a viva conducted for the assignment after the submission worth 3 marks where one
student will be chosen randomly from each group and the entire group will be marked on its
basis.

You might also like