澳洲FINC3017 Assignment代写,投资和投资组合管理课程代写

来自澳洲代写的顾客授权发布的investments and portfolio management,FINC3017作业要求片段,为保护顾客隐私,我们不会将FINC3017的答案或sample发布在网站,我们曾经写过FINC3017及相关的investments and portfolio management类型课程的很多作业及考试、如果你也需要代写这个课程的作业请联系客服WX:QQ 7878393 ,ExcellentDue的代写服务覆盖全球华人留学生,可以为澳大利亚的如:悉尼、墨尔本、布里斯班、阿德莱德、珀斯等地的学生提供非常准时精湛的服务,小作业assignment代写essay代写,享适时优惠,project、paper代写、论文代写支持分期付款,网课代修、exam代考预约时刻爆单中赶紧来撩。

 

你最近加入了一个投资管理团队,首席投资组合经理给你的任务是执行一个遵循Treynor-Black优化模型的投资策略。该投资组合以大盘股风格为主,投资于美国上市的股票,并以S&P500总回报指数为基准。与你团队中的研究分析师合作,你汇编了一组符合筛选标准的公司的数据。相关的细节,基于每月的超额收益。

 

Question: You have recently joined an investment management team and are tasked by the lead portfolio manager with implementing an investment strategy that follows the Treynor-Black optimization model. The portfolio has a large-cap style focus, investing in listed U.S. equities and benchmarked to the S&P500 total return index. Working with the research analysts in your team, you compile data on a set of companies that meet the screening criteria. The relevant details, based on monthly excess return series, are contained in the accompanying spreadsheet ‘Report 2 – Data.xlsx’. Unless otherwise stated, assume these data represent the appropriate inputs to incorporate into your portfolio optimization and no further adjustments are required. Further, assume that your portfolio has no investment constraints regarding leverage or short-selling. Your deliverable to your portfolio manager is a report that addresses the points listed below. Report structure Assuming the Single Index Model (SIM) appropriately describes security returns and using the given input data, present the following results in a table for the optimal risky portfolio(ORP): The optimal active portfolio weight, The optimal market portfolio weight,  The optimal weight of each individual security,  The ORP expected risk premium The ORP beta The ORP variance The ORP information ratio The ORP Sharpe ratio Compare the Sharpe ratio for the ORP found in part (1) with the Sharpe ratio for the market portfolio and the Sharpe ratio for the active portfolio. Specifically for the active portfolio, present the following results in a table: The alpha of the active portfolio The beta of the active portfolio The information ratio of the active portfolio Comment on the influence of each statistic in part (3) on the composition of the ORP. How would changes in each of these inputs affect the weight of the active portfolio in the ORP? Determine the covariance matrix and correlation matrix for the stocks in the Information Technology sector, and present the results for each matrix in a separate table. Discuss your results in part (5). What, if anything, does the analysis in part (5) tell us about the appropriateness of the SIM for portfolio construction? What further analysis, if any, should you undertake to assess the appropriateness of the SIM? (Note: discussion only, no calculations required) Conclude with a brief discussion of the benefits and limitations of using the Single Index Model compared to the Markowitz approach to optimal portfolio construction. Alongside your report, you must submit an Excel spreadsheet with your workings and follow all further requirements outlined below. Further requirements Use the Single Index Model approach to determine optimal risky portfolios where directed to find asset weights in the report. It is recommended you review the prescribed textbook chapter reading to assist you with following the Treynor-Black optimization procedure. Written reports must be submitted via the Turnitin link labelled ‘Report 2’.

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