本次金融经济代写主要是完成金融投资组合的分析报告

ECON40115-ECON410JN
Portfolio Management 2020/2021 Masters Programmes

您必须使用三个基准:事后最优投资组合,等权投资组合和无空头约束且方差等于样本期内等加权投资组合方差的均值方差投资组合。

您可以选择任何模型作为自己的策略,但它不应是带有某些约束的均值方差或最小方差组合。

对于绩效评估,您必须报告以下度量:累积回报,平均回报,回报的标准差,夏普比率和营业额。制作一个性能表,其中有(四)个模型列和各行度量(保持上面的顺序)。收益率和标准差必须以百分比为单位。年平均收益率,标准差和夏普。

•假设10个基点交易成本制作相同的表。

•报告应包括所选模型,实施细节,经验结果,对结果的严格评估以及计划来源(在附录中)。复制和粘贴时,源应该是可执行的。

总字数上限,最多2500个字。

提交说明
您完成的作业必须上传到DUO

不迟于2021年4月26日上午11:59

如计划手册中所述,将对上午11:59之后上传的作品收取罚款。您必须留出足够的时间在截止日期之前完全完成上传过程,并检查是否已收到收据。在高峰时段,最多可能需要30分钟才能生成收据。

作业应使用1.5间距和易于阅读的12点字体输入。作业和论文/业务项目不得超过模块手册/评估摘要中指示的字数。

字数应为:

▪包括所有文本,包括标题,前言,引言,文本引文,引文,脚注以及以下未明确排除的任何其他项目。

▪排除图表,表格(包括目录/目录和目录),方程式,执行摘要/摘要,声明,声明,书目/参考文献列表和附录。但是,仅使用图表或表格作为规避字数限制的方法是不合适的。如果学生使用桌子或数字作为表达自己的单词的方式,则这将包括在单词计数中。

 

SUMMATIVE ASSIGNMENT

  • The summative assignment is to build your own portfolio and evaluate it against benchmarks. The data will be available from DUO with the file name ‘data.csv’.
  • You have to use three benchmarks: the ex-post optimal portfolio, the equal-weight portfolio, and the mean-variance portfolio with no-short-sale constraint and variance equal to the equal-weighted portfolio variance over the sample period.
  • You can choose any model as your own strategy, but it should not be a mean-variance or minimum variance portfolio with some constraints.
  • For the performance evaluation, you have to report the following measures: cumulative return, mean return, standard deviation of the returns, Sharpe ratio, and turnover. Make one performance table with (four) columns for the models and rows for the measures (keep the order above). Returns and the standard deviation must be in percentage. Annualize mean return, stdev, and Sharpe.

Ex-post EW MV

Your PF

Cumulative Ret Mean Ret Stdev
Sharpe Turnover

Make the same table assuming 10 basis point transaction costs.

The report should include the chosen model, implementation details, empirical results, critical evaluation of the results, and the program source (in the appendix). The source should be executable when copied and pasted.

Overall word limit, 2,500 words maximum.

ECON41015-ECON410JN
Portfolio Management
2020/2021 Masters Programmes

SUBMISSION INSTRUCTIONS
Your completed assignment must be uploaded to DUO

no later than 11:59am on 26 April 2021.

A penalty will be applied for work uploaded after 11:59am as detailed in the Programme Handbook. You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a receipt to be generated.

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:

Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.

Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.

Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.

Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment – examiners are under no obligation to read appendices and they do not form part of the word count. Material that students wish to be assessed should always be included in the main body of the text.


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