i need this project done in the next 8hrs
a sample project is attached the data is different so dont copy
if wrongly done or late be sure i will dispute
bid only if you can handle
You will find an Excel workbook called AssignmentData.xlsx which is needed to
complete this assignment. It contains weekly index data for five asset classes and one
in-dividual asset (Gold).
Due to the reputation of “Education Institution of America” for producing work-ready
graduates, you are head-hunted by a small asset management company to work parttime
as a portfolio manager whilst you complete your degree.
It is your first day on the job and your boss is keen to see how much you really know. She
provides you with a list of five asset classes and tasks you and your team to investigate the
efficient asset allocation between these asset classes. Moreover, you are asked to satisfy a
17% expected return target on the portfolio you construct. To get started you decide to
collect historical performance data for the last five years in order to estimate the expected
return and variance-covariance structure of the asset classes (the data in the Excel file).
To perform the asset allocation you decide to construct a minimum variance portfolio. You
recall the 17% expected return target imposed by your boss and note that there was no
mention of short-selling constraints. In order to construct this portfolio you should copy the
assignment data into an Excel workbook and perform the following tasks/answer the
1. (a) Transform the index values into simple weekly returns (you do not need to
report these in your submission).
(b) Using the returns data, estimate (and report) the vector of expected returns for
the five asset classes, as well as the variance-covariance matrix of these returns.
These expected returns etc. should be annualized (i.e., in annual units).
(c) Report which of the asset classes are efficient and which are inefficient. For each
of the inefficient asset classes, find another asset class that dominates it.
(d) Compute and report the parameters A, B, C and .
(e) Construct and plot the MVS (with short sales allowed) for expected (annual)
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