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雷达卡
you submit a theoretically and empirically sound report with evidence of critical understanding of portfolio management. The report requires that you:
(i) Select any 25 stocks from the constituents of the S&P 100 Index, collect weekly share price data for these stocks for 12 years ending December 30, 2007 and analyse the risk return profile of each stock. (Note: your analysis should include descriptive statistics, autocorrelation, and correlation analysis. Such analysis should be considered as an exploratory data analysis. Include the names and DataStream codes of your companies in an Appendix.)
(ii) Construct an optimal portfolio using all 25 stocks identified for part (i), test the efficiency of your portfolio and analyse the time series properties of the portfolio returns. You are also required to evaluate the performance of the portfolio using any two recognised techniques. (Note: you should allow for short-selling. You may include a risk-free asset in your portfolio. You may consider rebalancing your portfolio on a regular basis. Time series analysis should include autocorrelation and descriptive statistics. You need to briefly justify your selection of portfolio performance evaluation techniques, and critically comment on your findings
(iii) Select a new set of 20 stocks from the constituents of the S&P 500 Index, using data of the same frequency and sample period as in (i). Your aim is to construct an active investment portfolio of your choice and style. Evaluate the time series properties of the portfolio returns, and compare and contrast its performance to the portfolio created in (ii). (Note: the type of data that you use and other portfolio decisions you make should be informed by the relevant empirical literature, theory, and diversification issues. You should carefully motivate your choice of the strategies.)
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