Disclaimer: The
following web pages are my pages from my former position at the
University of Tulsa. These pages do not in anyway imply that
I am currently affiliated with the university. I only provide
my archives here for informational purposes only.
Thank you Joe W. Byers
Course: Homework
and Assignments
Portfolio Management
The
next three assignments require the
students to select
a mutual fund (a domestic value or growth fund) and determine the top
10 stocks in the portfolio. Then, gather 3 years of
historical
prices.
Equity
Portfolio
Equity
Portfolio and
Index Construction
Calculate
mean, standard deviation, skewness, and kurtosis
of the daily returns and monthly returns.
Equity
Portfolio Risk and Return
Calculate
the covariance matrix for the 10 stocks and
create the adjusted weightings for the ten stocks in the portfolio.
Equity
Portfolio Risk and Return under
constraints
Calculate the Betas
for each individual stock using the
market model (CAPM)
Calculate the
Portfolio Beta.
Calculate the minimum
variance portfolio and expected
return of your stocks.
Calculate the
revised
Portfolio Beta.
Final
Report
The final report will
contain the
following.
The introduction and
background of the final report will
contain the specific information of the Mutual fund chosen and why you
chose this fund. The background section should contain
specific characteristics of your fund including: type, fund category,
investment policy, cost/fee structure, historical NAV, and performance
measure.
Mutual fund, listing
of top ten stocks
their weights and
revised weights, the individual annualized statistics for each stock,
the annualized return and risk of the portfolio, the covariance of the
stocks, the betas of the stocks and portfolio, and the minimum variance
portfolio, min-var beta, min-var expected return.
This
report will contain many tables presentation is
important for readability.
Comments on
correlation,
arbitrage, and other financial
relationships are a plus.
Bond
Portfolio Using Bond mutual fund
Duration
and convexity of the bonds and the Duration and convexity of the
overall portfolio
Duration
Hedging the bond portfolio.
Other
bond portfolio strategies
Final
Report
The final report will contain the
following.
The introduction and
background of the final report will
contain the specific information of the bond portfolio
chosen. The background section should contain
specific characteristics of your bond including: type, category,
investment policy, cost/fee structure, historical NAV, and performance
measure.
Mutual fund, listing
of top bonds stocks
their weights and
revised weights, the individual annualized statistics for each stock,
the annualized return and risk of the portfolio, the duration and
convexity of the bonds and bond fund.
This
report will contain many tables presentation is
important for readability.
Analysis
Report
The is a Fundamental
analysis of an industry and equity position. The analysis
will contain all macro-economic material related to the firm and an
industry comparison of the firm.
