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FINC3017讲解、Java/python编程

Discipline of Finance
FINC3017 Investments and Portfolio Management S2-2022
Assignment 1
Due date: Wednesday 7th September, 2022 11:59 pm.
This assignment will require you to build 4 optimal portfolios, using the theory developed in lectures, and
discuss/compare their performance. You will form this discussion with reference to the paper ※The Markowitz
Optimization Enigma: Is &Optimized* Optimal?§ by Richard Michaud which is available on Canvas. Using
this paper as motivation, you will construct several portfolios and discuss their relative performance. You
have been assigned 15 stocks from the S&P 100 index that you will use to build your portfolios. These
assigned stocks can be found in the file FINC3017 Asmnt 1 stock allocation.xlsx which is available on
Canvas. There is also a risk-free T-Bill available which has a fixed return of rf = 0.
The portfolios you construct will be built using data from 2nd January, 2019 until 31st December, 2020
(training data) and the performance will be tested using data from 4th January, 2021 until 31st December,
2021 (out of sample data). In the file titled FINC3017 Asmnt 1 Data.xlsx, you have been provided close
prices for (almost) all stocks that are listed on the S&P 100, the close level of the S&P 500 index that you
will use as a market proxy and an adjustment factor for each stock which will allow you to account for any
corporate actions (stock splits, etc). This tracks the number of shares that an investor with a single share
would hold at each date. For example, if an investor holds 1 share of a stock at date t and this stock does
a 2-for-1 split, then on date t + 1 you would own 2 stocks, but the price of each stock would half. In this
case the adjustment factor would change from 1 to 2. From this file, you will select data for the 15 stocks
that have been assigned to you to analyse. You may assume that the close prices on 31s