Dear all classmate: there is last year FM coursework: University of Greenwich FINANCIAL MANAGEMENT COURSEWORK 2012-2013 To be handed in by December,14th 2012 Course Leader: Dr. Cesario Mateus This is an individual coursework. Please answer ALL of the following questions QUESTION 1 (50% of the mark) Your client wants you to produce a set of minimum variance and efficient portfolios with and without short selling restriction, using any 20 stocks you choose. Instructions: Collect the closing monthly share prices for 61 month for 20 companies of your choice (from Datastream for example). Derive the minimum variance frontier for various levels of expected returns, without short-selling of risky assets and with restricted short-selling (apply whatever restriction you consider appropriate) of risky assets allowed. Plot those two minimum variance frontiers. Produce a client report explaining your workings and findings. Critically discuss the problems associated with short-selling. QUESTION 2 (50% of the mark) Assume any positive value of the mean return on the market portfolio and the value of its standard deviation. Assume the realistic value of the risk free rate. a) Plot the Capital Market Line (CML). Explain your workings. b) Plot on the separate graph the indifference curves for three investors who have the following expected utility functions: Investor 1 Investor 2 Investor 3 Who is the most risk averse and why? Explain. E(U1) = E(R) – 0.02Var(R) E(U2) = E(R) – 0.10Var(R) E(U3) = E(R) – 1.00Var(R) c) Locate on the CML from a) the portfolios of the three investors that maximize their utility functions. Explain your selection to three investors. References are important part of reports and they should be clearly outlined. The limit for this coursework is 2,500 words, excluding cover page and references page, but including any appendix you might add. Good luck with your work!
Posted on: Fri, 01 Nov 2013 13:37:13 +0000
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