FINM 7008 Assignment Marks: 15% of total assessment Group size: a minimum of four students and a maximum of six students Due Date: Monday 7 May 2012‚ 4pm Instructions The assignment requires the use of PC or Mac computer. You will need to be familiar with a spread sheet (for example Excel)‚ word processor (for example Word) and statistical package (for example EViews or SPSS). This project is worth 15% of the assessment in this course. Students must form their own groups of between four and six
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PORTFOLIO CONSTRUCTION USING SHARPE METHOD A PROJECT REPORT Table of Contents Executive Summary 3 Introduction 4 The traditional Approach 4 The Modern Approach 4 Need for Study 5 Objective 5 Limitations 5 Literature Review 6 Research Methodology 8 Analysis and Interpretation 10 Findings 13 Recommendations 13 Conclusions 13 Bibliography 14 Executive Summary An equity portfolio consists of two or more securities. Individual securities have risk and return characteristics
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since its introduction by Sharpe-Lintner-Black‚ the Capital Asset Pricing Model (CAPM) has been subject to criticism‚ appraisal and continuous efforts for improvement‚ such as the Reward Beta approach (Bornholt‚ 2007)‚ conditional CAPM or the consumption CAPM. The Dichotomous Asset Pricing Model (DAPM)‚ introduced by Professor Liang Zou at the Universiteit van Amsterdam‚ brings a fresh approach to asset pricing and contributes significantly to enhancing the over-disputed CAPM. The model manages to combine
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Information compiled by ___________________________________________________________ Stocks have historically had much higher returns than bonds. Can these excess returns be justified by the higher risk attached to stocks‚ or are there alternative explanations? The following is an abbreviated history of studies and models that articulate the logic of stock returns; included are both support for and alternatives to the equity risk premium. Edgar Lawrence Smith’s 1924 book Common Stocks
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John Doe Fin 4980-01 Dr. Alex 2/18/2013 Project 1: “Foundations of Portfolio Theory” by. H.M. Markowitz (1991) Foundations of Portfolio Theory by H.M. Markowitz is based on a two part lesson of microeconomics of capital markets. Part one being that taught by Markowitz‚ which is solely geared toward portfolio theory and how an optimizing investor would behave‚ whereas part two focuses on the Capital Asset Pricing Model (CAPM) which is the work done by Sharpe and Lintner. In this article Markowitz
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Hedge Fund Survey Mirsky‚ R.‚ & Cowell‚ A. (2012). The value of the hedge fund industry to investors‚ markets‚ and the broader economy Robert W. Baird & Co. (2010). Demystifying the Role of Alternative Investments in a Diversified Investment Portfolio Sharpe‚ W. F. (1964‚ September). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk Skidmore‚ G. H. (2010). Alternative Asset Classes: An Introduction. Greenwich: Belray Asset Management. Taussig‚ J. K. (2010). A Tale of Two Capital
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relative to the portfolio’s benchmark. The measurement of depth and breadth could be obtained through the regression analysis as well as risk adjusted performance measures‚ which would be the Capital Market Line (CML)‚ Capital Allocation Line (CAL)‚ the Sharpe Ratio and the M2 index. The depth of the portfolio is done by looking at the portfolio’s Security Characteristics Line (SCL) and the R2 together with the discussion of the slope and intercept and statistical significance. The Treynor Measure and
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years). The analysis has been made on the basis of mean return‚ beta risk‚ coefficient of determination‚ Sharpe ratio‚ Treynor ratio and Jensen Alpha. The overall analysis finds Franklin Templeton and UTI being the best performers and Birla SunLife‚ HDFC and LIC mutual funds showing poor below-average performance when measured against the risk-return relationship models. Key Words: Mutual Fund‚ Sharpe Ratio‚ Beta‚ Treynor Ratio‚ India‚ Risk‚ Investor INTRODUCTION Mutual Fund is one of the most preferred
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1 PART A MULTIPLE CHOICE: ANSWER ALL QUESTIONS Answer all questions. Write in your answer book the number of the question and ONE letter. Question 1 Consider a bond with a 10% coupon and with yield to maturity = 8%. If the bond’s yield to maturity remains constant‚ then in 1 year the bond’s price will be: a. Higher b. Lower c. Unchanged d. Cannot answer based on given information Question 2 The yield to maturity on a bond is: a. Below the coupon rate when the bond sells at a discount
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a weak positive relationship. The volatility of the new policy portfolio without TIPS comes out to be almost 10% with a return of 6.6%. So without TIPS the portfolio is more risky while providing a little higher return and as a result has a lower Sharpe ratio without TIPS. The correlation of TIPS with the new proposed policy portfolio without TIPS is low at
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