Create multiple portfolios standard and poor mid cap, Financial Accounting

In this project you will use your many skills to create multiple portfolios, using the Standard and Poor's Mid Cap 400 as your dataset.

First, construct an index fund using a stratified sample of 100 stocks from the Mid Cap 400. Follow the selection process we used in class, sorting by size and P/B. Be sure to use the random numbers in your data file as the random numbers to select your stocks. Use the weight of the 20th largest stock as your threshold for stocks that have to be selected, as discussed in class.

Note: Stocks with no P/B value should be treated as extreme growth stocks.

2. Be within 10% of the average market cap, average P/B and sector weights. What is your minimized tracking error value?

Now change your range from 10% to 5% and reoptimize. What is your new optimized tracking error? Is the new value larger or smaller? Explain your result (put it directly on your Excel sheet).

Now switch to an "index-plus" portfolio. The goal here is to be mindful of tracking error, but to also try to add some utility by overweighting the portfolio with stocks that have positive alphas 2. Be within 10% of the average market cap, average P/B and sector weights. What is the maximized value of your utility function? 

Now remove the restriction of all weights being greater than or equal to zero and reoptimize. What is your new maximized utility value, and which stock have the biggest positive and negative weights?

Be sure that your sampling technique is correct. Errors in sampling will cause more errors in your later analysis.

Posted Date: 2/28/2013 12:05:23 AM | Location : United States







Related Discussions:- Create multiple portfolios standard and poor mid cap, Assignment Help, Ask Question on Create multiple portfolios standard and poor mid cap, Get Answer, Expert's Help, Create multiple portfolios standard and poor mid cap Discussions

Write discussion on Create multiple portfolios standard and poor mid cap
Your posts are moderated
Related Questions
Terry Corporation had 300,000 shares of common stock outstanding at December 31, 2010. In addition, it had 90,000 stock options outstanding, which had been granted to certain execu

Joe Shareholder owns 100 shares of Peach Company stock which is currently selling for $100 per share. Peach declares a 2-1 stock split. How much are Joe's shares worth after the st

How should I handle Booking an invoice in one month for Raw material that has not been received until the following month?

Star Corporation issued both common and preferred stock during 19X6. The stockholders' equity sections of the company's balance sheets at the end of 19X6 and 19X5 follow.

Beginning balance 24,000 cash Sales 250,000 Gross profit 45% of sales Accounts receivable increase by 24,000 Accounts payable increased by 51,000 Inventory increased by 98,000 Sell


The cost of debt must be based upon the current market cost of debt. Where different kinds of debt are used estimates of more than one debt cost may be necessary and these costs we

Q. Explain bonus or capitalisation issues? A rights issue is a approach of raising finance via the issue of shares to existing equity shareholders. Consecutively to make such a

the role of international accounting toward promotion of generally accepted accounting principle

Q. Determine the indicated market price per share? Your company's share is quoted in the market at Rs.20 Presently. The company pays a dividend of Rs.1 per share and the invest