investment management class assignment
Assignment 1
1. The dataset ISE30.xls contains historical monthly USD returns from January 2008 to December 2012 for the 30 stock funds in the ISE-30 index. You may assume that the (US) risk-free interest rate is 4% per annum or 33 basis points (0.33%) per month.
2. Use the sample averages and covariance terms as ‘naïve’ estimates for the future expected returns and covariance terms. (Clearly, the historical averages of 60 monthly observations are inaccurate even under the ideal assumption that the observations are i.i.d. normal random variables.)
3. Apply the security-selection model of Treynor and Black (see Chapter 8 and 27.1) to find the optimal active portfolio and optimal risky portfolio. The benchmark index portfolio is the ISE-30 index.
4. Make sure that the optimal portfolio weights, Jensen’s alpha, market beta, information ratio and Sharpe ratio are reported for the two portfolios.
5. You can make the assignments in any statistical software package or simply in Excel. For using Excel spreadsheet software, it may be useful to install the add-ins ‘Analysis ToolPak’ and ‘Solver Add-in’.
6. You can chose to work individually or work together in a small group of two or three students.
7. Hand-in: Post your .xls file on the F: drive. Please do not send your work by email, because it may then be difficult for me to find your work in the daily flow of emails. If you have any problems accessing the F: drive, please contact the CIT office.
8. Deadline: Sunday October 20, 2013, 23:59. Submissions after the deadline can be corrected at request but will not be graded. You may want to set your own ‘soft’ deadline one or two days before the ‘hard’ deadline in order to avoid last-minute planning problems. You may also want to check before the deadline whether you can access the F: drive.
9. Make sure that your names and student numbers (for all team members) are clearly stated. Also make sure that your steps and possible assumptions are clearly explained, so that I can understand and replicate your results.
10. The University code of honor applies for all graded work.
Our Service Charter
-
Excellent Quality / 100% Plagiarism-Free
We employ a number of measures to ensure top quality essays. The papers go through a system of quality control prior to delivery. We run plagiarism checks on each paper to ensure that they will be 100% plagiarism-free. So, only clean copies hit customers’ emails. We also never resell the papers completed by our writers. So, once it is checked using a plagiarism checker, the paper will be unique. Speaking of the academic writing standards, we will stick to the assignment brief given by the customer and assign the perfect writer. By saying “the perfect writer” we mean the one having an academic degree in the customer’s study field and positive feedback from other customers. -
Free Revisions
We keep the quality bar of all papers high. But in case you need some extra brilliance to the paper, here’s what to do. First of all, you can choose a top writer. It means that we will assign an expert with a degree in your subject. And secondly, you can rely on our editing services. Our editors will revise your papers, checking whether or not they comply with high standards of academic writing. In addition, editing entails adjusting content if it’s off the topic, adding more sources, refining the language style, and making sure the referencing style is followed. -
Confidentiality / 100% No Disclosure
We make sure that clients’ personal data remains confidential and is not exploited for any purposes beyond those related to our services. We only ask you to provide us with the information that is required to produce the paper according to your writing needs. Please note that the payment info is protected as well. Feel free to refer to the support team for more information about our payment methods. The fact that you used our service is kept secret due to the advanced security standards. So, you can be sure that no one will find out that you got a paper from our writing service. -
Money Back Guarantee
If the writer doesn’t address all the questions on your assignment brief or the delivered paper appears to be off the topic, you can ask for a refund. Or, if it is applicable, you can opt in for free revision within 14-30 days, depending on your paper’s length. The revision or refund request should be sent within 14 days after delivery. The customer gets 100% money-back in case they haven't downloaded the paper. All approved refunds will be returned to the customer’s credit card or Bonus Balance in a form of store credit. Take a note that we will send an extra compensation if the customers goes with a store credit. -
24/7 Customer Support
We have a support team working 24/7 ready to give your issue concerning the order their immediate attention. If you have any questions about the ordering process, communication with the writer, payment options, feel free to join live chat. Be sure to get a fast response. They can also give you the exact price quote, taking into account the timing, desired academic level of the paper, and the number of pages.