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applied portfolio management代寫

    25729 – Applied Portfolio Management
    applied portfolio management代寫
    Assignment N° 1 -Mean – Variance Asset Allocation
    DUE DATE: 6.00pm May 7th, 2013.
    The question had been nagging him for the last three hours: if the market was efficient why he had to work for such a
    stupid boss? The guy was probably a five standard deviations event in the world idiocy distribution. He probably
    thought that Markowitz was a fancy restaurant down in the CBD.
    Working with him was usually a nightmare, but the question at hand was really out of scale: the research department
    had produced a report on medium term stock returns where Emerging Markets stood out thanks to a much waited
    improvement in local macroeconomic conditions. His boss had the report on his table when a medium size
    institutional client asked for a 5-years asset allocation for a 100 m$ portfolio with a target standard deviation around
    13% on a yearly base.
    applied portfolio management代寫
    At that moment something clicked in the emptiness of that beautiful mind and his boss decided to suggest a portfolio
    heavily weighted on Emerging Markets. His reasoning was “solidly” based on two “very sound” assumptions:
    1. The solution proposed was the portfolio on the mean variance frontier with a risk of 13%. The standard
    mean variance model was used all over the world and so was not questionable (in fact Markowitz had won
    a Nobel for this thing, probably before he opened the restaurant in the CBD)
    2. The expected returns used in the calculation were provided by the research department of the bank and so
    they had to be “good”.
    The problem, for our young analyst, was that now he had to write the report for the client suggesting this “daring”
    allocation. At five in the morning he dutifully finished his job but, since going home was not an option, he decided to
    give it a last try and write a short report in order to
    1. Cover his own back
    2. Try to convince his boss about the mistake he was going to do
    TO DO
    The report you are going to write should be short (10 pp max) and clear, and should contain:
    1. A clear explanation of the risks involved in the investment in the suggested mean-variance portfolio. You should
    try to justify your motives with some numbers. Creative ideas in this area are welcome, provided that they are
    correct. [25% of the grade]
    2. A suggestion of an alternative asset allocation. You should clearly state and explain the methodology used, and
    justify the parameters choice. [50% of the grade]
    3. A clear and convincing explanation / demonstration of the superiority of your portfolio over the standard mean-
    variance portfolio. Again your justifications should be based on numbers. [25% of the grade]
    Hints:
    applied portfolio management代寫
    ?  Use monthly data in your calculations but report the results on yearly base.
    ?  You are not allowed to use any other number, data or information beside what is provided with the
    assignment. Specifically if you plan to use Black and Litterman you are not allowed to formulate your own views
    choosing random numbers. Your views have to be grounded in the data in the assignment.
    ?  The expected returns provided are the best expectations of tour bank. You are not allowed to say that “you know
    better” and thus you will use different numbers…
    ?  If you have to choose between a clear and convincing explanation and a long, tedious, statistically bulletproof
    reasoning choose the former. Maybe the latter could be a nice appendix.
    ?  You will face a lot of problems: it’s normal...life is complicated!
    ?  The output should be a pdf document with the report and a zip file with all the excel files used/generated.
    All files will be delivered in an electronic drop-box that will be available in UTS Online.
    ?  Delivery of a paper copy of a paper copy of the pdf document is required. A drop box is available on the 3 rd floor
    of Block D at the entrance of the finance discipline group offices.
    Aspects that will be considered in the Evaluation:
    a) Ability to apply either resampling or Black and Litterman. The assignment can be completed without using them
    but the evaluation will be lower. Clarity of the explanation and justification of the assumptions made and of the
    parameters chosen.
    b) Ability to justify every parameter of your model. Random and/or unjustified numbers will not be accepted.
    c) Statistical correctness and soundness of your work.
    applied portfolio management代寫
     

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