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
Accounting policies Accounting policies are the specific assumptions, bases, principles and practices that are adopted by firms in preparing financial statements. The standard

In no more than one typed page, provide a statement of your decision to invest or not invest in this company's stock based on your interpretation of the company's long-term prospec

In January 2013, Mitzu Co. pays $2,600,000 for a tract of land with two buildings on it. It plans to demolish Building I and build a new store in its place. Building 2 will be a co

Promissory Note - Evidence of a DEBT with specific amount due and interest rate. Note may specify a maturity date or it may be payable on demand. Promissory note may or may not acc

The business is considering two proposals for their promotions of the professional courses.Proposal one could give a stable return throughout the period. Proposal Two would give hi

Safety Stock What must be the level of safety stock? In a simple condition where merely the usage rate is variable and the maximum usage rate can be given, the safety stock nee

Q. The following selected amounts are available for Vizio Company. Retained earnings (beginning) $1,600 Net loss 300 Cash dividends declared 200 Stock dividends declared 200 What i

How do I know how much is service fee ?

Compute the present value of Rs. 1000 receivable 6 years thus if the discount rate is 10 percent. Solution: The present value is computed as follows: PV kn = FV n . PVIF k,n

My company agreed to clean a store for $1,375 per month. A check for $700 was received from the store as a deposit. What do I need to debit and credit in a general ledger?