Portfolio Summary Statistics
Annual Cash Rate
Johnson & Johnson
Fifth Third Bank
What is the job of a Portfolio Manager?
To produce a superior risk adjusted stream of returns that meet or exceed client
What can a Portfolio Manager do to add value?
Select assets that will ( are expected ) to perform gr
Portfolio Project Guidelines
1. The project needs to be laid out very carefully. It is part one of a two-part project. If
care is not taken to organize your work, part two will be a nightmare.
2. Use spreadsheets efficiently. Organize your spreadsheet as
Portfolio Project #1
Create a portfolio by selecting one stock for each sector (see attached for sector
guidelines). Please make sure the company meets the following criteria:
1. Clearly belongs in the sector.
2. At start, Market Capitalization over $1.0
This document describes in clearer detail specific requirements of Assignment I.
It is not apparent, until you get to the deliverables, that there are three scenarios that must be
completed and submitted. Not all scena
This assignment is about optimization. Optimization is about finding a point on the Efficient Frontier.
Since we know the Efficient Frontier is comprised of the feasible set of portfolios, we can surmise that
an optimization finds a portfoli
Project #3 involves determining and implementing an appropriate hedge for your portfolios.
Project #3 will be due in 2 weeks (April 21).
Download weekly pricing from January 1, 2002 to December 31, 2004.
Calculating Portfolio Risk
p = Portfolio Standard Deviation
n = Standard Deviation of the nth asset
Wn = Weight of the nth asset
Covx,y = Covariance between asset x and y
p=[w2121+ w2222 + 2( w1 )( w2 )Cov1,2]1/2
You can lower portfolio volatility
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A Spatial Econometric Model and Its
Application on the Factors of Financial
Abstract: In t his paper, w e constr uct a spatial econom et ric m odel on t he f act or s of financ