1. Open Excel file “Portfolio VaR Updated” and save with new name. 2. – graduate researcher

1.
Open
Excel file “Portfolio VaR Updated” and save with new name.
2.
Prepare
the Excel spreadsheet as instructed in the videos, making sure to use your
own set of constraints, different from those provided in the example
file.
3.
Prepare
an asset allocation recommendation paper for a fictitious client, including the
following sections (including graphics as appropriate):
a.
Definition
of your client (risk profile and risk tolerance, current portfolio, goals (for
example, saving for retirement).
b.
Assumptions
(asset class assumptions (you can reference Professor’s assumptions), theory of
finance using (efficient frontier, mean, standard deviation), others) and
constraints (be sure to include your rationale for your constraints)
c.
Summary
of your analysis
i.
Mean-variance
analysis (put the efficient frontier graph in your paper), including how you
came up with your recommended portfolio and other portfolios you considered
ii.
Historical
VaR Analysis
d.
Final
recommendation along with rationale
e.
Style
analysis of a mutual fund and recommendation as to if that fund is a good fit
to execute your asset allocation recommendation.
i.
Assume
your client comes to you with a balanced portfolio mutual fund (contains both
stocks and bonds (usually will have “balanced” or “asset allocation” in title)).
You will run the style analysis to determine if that mutual fund would be a
good fit for your recommendation. You do not need to find a mutual fund that
has a high R-squared to your recommended allocation.
4.
Manager
attribution of a single asset class mutual fund (for example: U.S. Large Cap
Growth). Assess the manager’s alpha, tracking error, information ratio, batting
average, upside/downside capture, Sharpe ratio, Upside/Downside Capture, Jensen
ratio, and Treynor index.1.
Open
Excel file “Portfolio VaR Updated” and save with new name.
2.
Prepare
the Excel spreadsheet as instructed in the videos, making sure to use your
own set of constraints, different from those provided in the example
file.
3.
Prepare
an asset allocation recommendation paper for a fictitious client, including the
following sections (including graphics as appropriate):
a.
Definition
of your client (risk profile and risk tolerance, current portfolio, goals (for
example, saving for retirement).
b.
Assumptions
(asset class assumptions (you can reference Professor’s assumptions), theory of
finance using (efficient frontier, mean, standard deviation), others) and
constraints (be sure to include your rationale for your constraints)
c.
Summary
of your analysis
i.
Mean-variance
analysis (put the efficient frontier graph in your paper), including how you
came up with your recommended portfolio and other portfolios you considered
ii.
Historical
VaR Analysis
d.
Final
recommendation along with rationale
e.
Style
analysis of a mutual fund and recommendation as to if that fund is a good fit
to execute your asset allocation recommendation.
i.
Assume
your client comes to you with a balanced portfolio mutual fund (contains both
stocks and bonds (usually will have “balanced” or “asset allocation” in title)).
You will run the style analysis to determine if that mutual fund would be a
good fit for your recommendation. You do not need to find a mutual fund that
has a high R-squared to your recommended allocation.
4.
Manager
attribution of a single asset class mutual fund (for example: U.S. Large Cap
Growth). Assess the manager’s alpha, tracking error, information ratio, batting
average, upside/downside capture, Sharpe ratio, Upside/Downside Capture, Jensen
ratio, and Treynor index.
proffesors youtube links with instructions:
1. https://www.youtube.com/watch?v=IeTiL1uv_VU&list=PLa2uNTfeF6gNurSqPu9K8ytPhvgwwApGZ&index =10
2. https://www.youtube.com/watch?v=niX5UoiuAMU&list=PLa2uNTfeF6gNurSqPu9K8ytPhvgwwApGZ&index=11
3. https://www.youtube.com/watch?v=PSLt1gsEIA4&list=PLa2uNTfeF6gNurSqPu9K8ytPhvgwwApGZ&index=13
4. https://www.youtube.com/watch?v=QOFIAt-nYU0&list=PLa2uNTfeF6gNurSqPu9K8ytPhvgwwApGZ&index=8