FIN 6275
Homework 1
FIN 6275
(P
ART
I)
I
NVESTMENT
A
NALYSIS
AND
G
LOBAL
P
ORTFOLIO
M
ANAGEMENT
Spring 2012
H
OMEWORK
I
P
ORTFOLIO
M
ANAGEMENT
This homework uses the data that you obtained for the assignment from the Fall which you submitted
to me earlier this semester, namely:
The monthly
valueweighted return
on the ‘
12 Industry Portfolios
’ from January 1980 to July 2011,
keeping only the returns of the following 6 industries:
Durables, Energy, Business Equipment, Utilities, Healthcare, Finance
or in their notation: ‘Durbl’, ‘Enrgy’, ‘BusEq’, ‘Utils’, ‘Hlth’, ‘Money’
Import them into Matlab:
At this point, you should have at least three variables in your workspace:
R
= a 379x6 matrix of industry portfolio returns
dates
= a 379x1 vector of dates
names
= a 1x6 vector of industry portfolio names
Make sure your returns are in decimals (i.e. 0.0209 stands for 2.09%).
Some of the matlab
functions are only designed to work with decimals.
The project should have a summary of all results separately (for example in a MS Word file)
from the programs themselves (which may be submitted in a Matlab Editor .m file).
Both results and programs should be submitted in
HARD
COPIES
IN
CLASS
ON
F
EB
18, 2012
.
1
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FIN 6275
Homework 1
1.
Analysis of StandAlone Risk and Return:
a.
Plot all portfolios in a MeanVariance framework (i.e. return – standarddeviation
graph).
Note: Plot all portfolios in the same graph and make sure you include a
legend or labels so the portfolios can be identified.
b.
Is any of the portfolios dominated by any other portfolio?
If yes, which one(s) is
(are) dominated and by which other portfolio(s)?
c.
Calculate the utility of an investor with a riskaversion of A=5 from holding each
portfolio?
Which portfolio would this investor prefer?
d.
Calculate the utility of an investor with a riskaversion of A=2.5 from holding each
portfolio?
Which portfolio would this second investor prefer?
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 Spring '12
 GerganaJostova
 Utility, Capital Asset Pricing Model

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