这个作业是完成投资组合的收益回报预测并改善策略
Professional Development in Finance: Week Five
任务细节
我所关注的一个投资组合包括AMZN，AAPL和无风险资产的股票。我已经
完成工作以查找必要的统计信息：
•?（?????）= 0.023135； ????? = 0.09025
•?（?????）= 0.028387； ????? = 0.08964
•?????，????= 0.37097
•??= 1.57％
第1部分
请在您的报告中包括以下内容，并提供足够的解释，以备需要时使用
复制结果并仅需几分钟即可检查工作。
a）在AMZN中投资?1= 35％的投资组合的预期收益和标准差
AAPL中，?2= 65％。确保指出要使用的公式并显示您的
工作。键入实现的数学或附加带批注的Excel工作表
其中的公式已明确说明。
b）两种风险资产的最小方差组合中的投资比例。
•您可以使用类中的公式，也可以使用Solver，但与往常一样，请清楚地说明
您如何找到答案的。
c）MVP的预期收益和标准差。
这项工作与Finance One最近的举措有关，该举措旨在更好地为即将退休的和即将退休的投资者（即我们50岁和60岁的客户群）提供金融服务。高级团队成员有
指示营销材料应宣传对两组都有吸引力的资产配置。
对于这项任务，我使用的是您在上一个项目中发现的风险规避参数，因此
对50岁的孩子使用?= 3，对60岁的孩子使用?= 4。我已经做完了
为此的一些基础工作，但我需要您添加各方面的最佳投资份额
这些目标人群中，有较高风险的组合更喜欢。我对风险的计算
投资组合的构成为：?????= 21.1％，?????= 78.9％。
d）计算该风险对象的预期收益，标准差和夏普比率
投资组合。然后，根据上述风险规避参数，找到并报告
每个客户组将分配给风险投资组合的最佳投资份额。
e）如果每个客户组在第一财务公司管理的资产为$ 1,000,000，请报告
我们应该分配给AMZN，AAPL和无风险资产的最佳投资。
f）最后，评论相关系数?????，?????。你认为这个投资组合是
多元化？为什么或者为什么不？用四到五个句子，提出并解释一个
改善我建议的投资组合的策略。
Part 2
One idea I have been considering as an alternative strategy is to combine the portfolio of AMZN
and AAPL with a long-term bond fund. The expected returns and standard deviation of this
bond fund are 1.3% and 4.78%, respectively. The correlation between the bond fund and the
portfolio of AMZN and AAPL is 0.12.
Please do the following computations for me: ultimately, I need you to tell me whether this
strategy is more efficient than my original strategy of combining AMZN, AAPL, and the riskfree asset.
a) Find the minimum variance portfolio in this scenario and report its weights, expected
returns, and standard deviation. (You can treat this as a two-asset problem, where the
portfolio of AMZN and AAPL is one risky asset and the bond fund is the second risky
asset.)
b) Build a portfolio opportunities set for these two investments (the bond fund and the
portfolio of AMZN and AAPL) and organize the relevant information in a clear table.
Limit the allocation to 100% and use increments of 5%.
c) Plot out the POS and add the appropriate CAL if the risk-free rate is 1.57%.
d) Report the expected returns and standard deviation of the tangency portfolio. Add a
label or a special symbol for that point on your graph.
e) Is this alternative portfolio more efficient than the portfolio constructed with AMZN and
AAPL? In four or five sentences, explain your reasoning and discuss the role of ?.
Please make sure that you append all data, spreadsheets, and relevant calculations
and that:
o Any figures you include in your report are clearly labeled, with easy-toread axes and legends.
o Your spreadsheet, once opened, is easy to navigate. Series and any
worksheet tabs should be clearly and appropriately labeled.
o You include one or more clearly labeled worksheets for any calculations
discussed in your memo. Please annotate your worksheets so that any
third party can see what computation corresponds to any part of the
assignment.
o Ideally, your labeling and annotations should be sufficiently clear that any
supervisor can replicate all of your results based on the workbook you
submit within 5-10 minutes.
o You correctly cite any sources you used in forming your analysis.
When submitting to latte, make sure that click submit and you receive a confirmation
email that your work has been submitted.