讲解 MATH6017 Coursework 1讲解 Python编程

MATH6017 Coursework 1

Worth 20%

Submission date: 28 March, 2025. 4:00pm

Rules

• You must work on your own on this assignment with no help from others or GenAI.

• You must submit a single Jupyter Notebook file as a submission.

• Clearly indicate your name and student number on the code. Save the file as MATH6017 Assignment.

• Ensure that your code is clean, well-structured, and error-free. Non-functioning codes will be penalized.

Asset Management Project

You have been recently hired as a portfolio manager at XYZ Asset Management, a company that provides investment services for institutional and individual clients. Your primary responsibility is to construct and manage an optimal investment portfolio that maximizes returns while mitigating risk, and ensuring compliance with the company’s investment policies and client objectives. As a portfolio manager at XYZ Asset Management, your key duties involve managing a diversified investment portfolio by selecting and optimizing assets from various sectors. You are required to perform portfolio optimization based on different constraints and client preferences. Given the historical prices of ten different assets obtained from YAHOO FINANCE, namely, AAPL, MSFT, AMZN, TSLA, GOOG, META, NVDA, JPM, UNH and XOM from January 1 2022 to December 31, 2022 in stock prices 2022 .csv

Task 1

1. (a) Calculate the cumulative return for each asset for the entire year. Present your results in a line

graph showing the growth of each asset over time.

(b) Calculate the mean return and covariance of each asset.

2. (a) Construct an optimal portfolio that allows short selling using the minimum variance framework. Solve the optimization model using CVXPY module.

(b) Analyze the portfolio weights, expected return and risk of the optimal portfolio.

3. (a) Construct a mean-variance portfolio that does not allows short selling such that the portfolio

achieves a target expected returns of at least 10% per annum.

(b) Discuss the impact of no short-selling on the portfolio performance.

4. (a) Simulate 10,000 possible portfolio for the ten assets.

(b) Compute and plot the efficient frontier for the portfolios. Identify the portfolio with the lowest risk (tangency portfolio) and calculate the optimal return of the tangency portfolio.

Task 2

Prepare a professional report addressed to the company’s investment committee providing a high-level overview of your findings and recommendation from Task 1.