Portfolio Management and Security Analysis
投资组合管理和证券分析代写 The written part of the report should be a maximum of 6 pages (Times New Roman font size 12, double spaced).
Assessment
The assessment for this class consists of a coursework element that accounts for 40% of the final mark and a two hour final examination that accounts for 60%.
The coursework is the completion of questions in the problem set. The coursework should be submitted online by Thursday of week 8 in semester 2.
The aim of the problem set is to develop the following skills:
Undertaking empirical research
Evaluating and interpreting evidence
The coursework will be an optional group based submission where you can work in groups of up to 6 people. All members in the group will be allocated the same mark as this is an option to work in the group. You are responsible for finding a group if you wish to work in a group.
The written part of the report should be a maximum of 6 pages (Times New Roman font size 12, double spaced). 投资组合管理和证券分析代写
After the report should go all the tables and graphs. All of the answers to calculations must go either in Tables or graphs. Put each graph and table on a separate page. The tables and graphs should be presented in a similar fashion to research papers i.e. have a number, a title, and short explanation of what is in the table. The references go at the end of the report. The references should be double spaced and presented in the same way as a research paper.
When doing the questions in the problem set, the material will be assessed on how well the questions in each set have been addressed as well as the overall presentation. Answer the questions specifically. Do not include literature reviews or extensive discussion of research methods or Matlab code unless the question asks you for that.
Feedback will be provided through the use of an evaluation form on how well these criteria have been met.
The final exam will consist of two essays out of a choice of 5 or 6 essays. The main criteria for essay based questions will primarily focus on the level of understanding of the material covered in the class.
You are welcome to come and see me to get additional feedback for any part of your assessment.
Problem Set Questions 投资组合管理和证券分析代写
All questions about the relevant Matlab commands should be directed to Martin and Donald who will provide support in the Matlab commands. During the computing lab sessions you can work through the Matlab workbook and do the problem set questions and also receive feedback on your answers. It is important that you use this opportunity to receive informal feedback on your initial attempt at the problem set and how you can incorporate that feedback in improving your performance.
The data for the problem set questions are in the project.xlsx file. This file contains the annual $ returns of a number of equity markets around the world between 1901 and 2019. The file also contains the annual returns of U.S. Treasury Bills over the same period. The data is the Dimson, Nagel and Staunton historical returns database which is available through Morningstar Direct.
Your group is required to select 10 different markets for your empirical analysis, which is your choice. You will also need the U.S. Treasury Bill returns to calculate the annual excess returns for each market in questions 1 and 3.
As the data is in % terms, divide all the data by 100 to work in decimals. 投资组合管理和证券分析代写
1.For each of your markets, calculate the average excess returns, standard deviation, and the t-statistic of the null hypothesis that the average excess market return equals zero across the whole sample period. In addition, calculate the 95% confidence interval of the average excess market return for each market.
2.What can we learn from these results?
3.Split your sample into two subperiods of your choice and repeat the analysis in questions 1 and 2.
4.We will focus on solving optimal portfolios assuming that risk-free lending and borrowing is available and faces no portfolio constraints beyond the budget constraint. The risk-free asset is given by the mean return of the annual Treasury Bill returns. Solve the optimal portfolio weights when the investor holds the tangency portfolio and when the risk tolerance is equal to 0.4. Discuss the optimal weights for both portfolios.
Hint: Add 1 to get the gross returns of your countries and the Treasury Bill.
5.Run the Jobson and Korkie(1981) tests for the sample tangency portfolio. Set the number of simulation runs to 1,000. Calculate the true maximum Sharpe performance, the Sharpe performance of the 1/N strategy, and the average out-of-sample Sharpe performance of the sample tangency portfolio. Also calculate the proportion of times, the sample tangency portfolio provides a higher out-of-sample Sharpe performance than the 1/N strategy.
6. Discuss the results from question 5.
Matlab Workshops 投资组合管理和证券分析代写
Although the questions below focus on calculating statistical tests, you should try and explain what the results mean. All of the data comes from the example.xlsx spreadsheet.
Workshop 1 Questions
Using the U.K. excess market returns:
1.Calculate summary statistics of the excess market returns across the whole sample period.
2.Conduct a t-statistic of the null hypothesis that the average excess market return is equal to zero and estimate the 95% confidence interval. Do stocks outperform bonds over this sample period?
Workshop 2 Questions
Using the last 120 observations of the size/BM portfolios and Treasury Bill returns. Calculate 1+returns for both the 16 size/BM portfolios and the one-month U.K. Treasury Bill returns.
1.Calculate the average returns and covariance matrix of the 16 size/BM portfolios.
2.Calculate the optimal portfolio weights when t=0.2 for the unconstrained mean-variance frontier with a risk-free asset. Also calculate how much is invested in Rf. We will assume that the mean one-month Treasury Bill return is the risk-free asset.
3.Calculate the risk tolerance of the tangency portfolio and the corresponding optimal portfolio weights from the unconstrained mean-variance frontier.
Workshop 3 Questions 投资组合管理和证券分析代写
Using your data from Workshop 2.
1.Run the Jobson and Korkie(1981) simulation analysis for the sample tangency portfolio. Set the number of simulation runs to 500. Calculate the true maximum Sharpe performance, the Sharpe performance of the 1/N strategy, and the average out-of-sample Sharpe performance of the sample tangency portfolio. Also calculate the proportion of times, the sample tangency portfolio provides a higher out-of-sample Sharpe performance than the 1/N strategy.
2.Using the Portfolio Matlab function and estimate the constrained mean-variance frontier using the 16 size/BM portfolio returns and impose the restriction of no short selling constraints.
Workshop 4 Questions
This workshop will focus on testing linear factor models. We will look at the CAPM and the Fama and French(1993) three-factor model (Market, SMB, and HML). We will use the four largest portfolios as the test assets (columns 13 to 16).
1.Calculate excess returns of the large portfolios and run the time-series regressions using the CAPM.
2.Repeat question 1, but this time use the Fama and French(1993) model.
3.Conduct a model comparison between the two models.
4. For each of the three factors, estimate the average excess returns of each factor and use the t-statistic to examine if the mean excess factor excess returns are equal to zero or not.
Workshop 5 Questions
In this workshop, we will look at the time-series predictability of the five Fama and French(2015) factors. We will use the last 120 observations for these tests.
1.Run an individual regression of the excess returns of the five factors on a constant and the lagged one-month excess return of the factor. Report the relevant statistics. This test looks at whether the past excess factor returns predict the future excess factor returns.
2.Run an individual regression of the excess returns of the five factors on a constant and the lagged one-month Treasury Bill return. Report the relevant results. This test looks at whether a lagged information variable predicts the excess factor returns.
3.Using the four smallest size/BM portfolios (columns 1 to 4), run the regression of the excess portfolio returns on a constant and a January dummy variable. Report the relevant results.
Workshop 6 Questions
The examplefund.xlsx file contains the monthly returns on two U.K. funds (Trust 1 and Trust 2), the excess returns on the three factors in the Fama and French(1993) model (Market, SMB, and HML), and the return on the one-month U.K. Treasury Bill.
1.Calculate the excess returns of the two funds and estimate the Sharpe(1966) performance of the two funds and the market index.
2.Calculate the Jensen performance of the two funds using the CAPM and Fama and French(1993) models and conduct statistical tests if the Jensen performance equals zero. Also test whether the fund betas are equal to zero or not.
3.Calculate the Information Ratio and Appraisal Ratio for both funds using both models.
Past Essay Exam Questions 投资组合管理和证券分析代写
1.Evaluate the main factors that affect the valuation of corporate bonds.
2.Discuss the central predictions of the CAPM and Arbitrage Pricing Theory and provide a review of the empirical evidence of these models.
3.Critically evaluate the empirical support for the Efficient Markets Hypothesis and explain why this is an important issue for investors.
4.Discuss the main performance measures used to evaluate mutual fund performance. In your answer discuss whether mutual funds add value to investors.
5.Discuss the uses of mean-variance portfolio selection and evaluate the problems with using this approach.
6.Are stock returns predictable across stocks using stock characteristics? Discuss the alternative explanations that market efficiency and behavioural finance propose for explaining these effects.
7.Critically evaluate the alternative explanations of the term structure of interest rates.
8.Discuss the different types of mutual funds which exist and examine whether mutual funds add value to investors.
9.Why does naïve diversification reduce the risk of the portfolio? Discuss.
10.Discuss the main performance measures used to evaluate mutual funds. Explain how some of these measures might be estimated in practice.
11. 投资组合管理和证券分析代写
Critically examine the challenges that stock return predictability has for the Efficient Markets Hypothesis.
12.Discuss the alternative approaches used to construct factors in the APT and evaluate the benefits of factor investing to investors.
13.Are stock returns predictable across stocks using stock characteristics? Discuss the alternative explanations that market efficiency and behavioural finance propose for explaining these effects.
14.Discuss the main approaches to bond portfolio management.
15.Do mutual funds add value to investors? Discuss the empirical evidence on mutual fund performance to see whether or not mutual funds add value to investors.
16.Critically examine the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) as alternative linear factor models.
17.Discuss the main issues involved in bond portfolio management.
18.Discuss the estimation risk problem of sample mean-variance portfolios and the resampled portfolio efficiency approach of Michaud(1998) and Michaud and Michaud(2008).
19.Critically examine the main performance measures used to evaluate fund performance.
20.Are stock returns predictable over time? Discuss. Include in your answer a discussion of the implications that stock return predictability has for investors.
21.Explain the Arbitrage Pricing Theory and discuss the uses of multifactor models.
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