Create multiple portfolios standard and poor mid cap, Financial Accounting

Assignment Help:

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.


Related Discussions:- Create multiple portfolios standard and poor mid cap

Inventory., Tubby is a retailer that buys and sells handmade robotic toys. ...

Tubby is a retailer that buys and sells handmade robotic toys. He buys a basic prototype and then programs it to do all sorts of unique tricks. The following information was provi

Scope, scope of financial accounting

scope of financial accounting

Closing entries, Closing Entries: Expenses Below is a list of accounts with...

Closing Entries: Expenses Below is a list of accounts with corresponding ending balances. Account: Account Balance a.Insurance Expense: $1,300 b.Cash: 750 c.Accounts Receivable: 4,

Litigation support and dispute resolution, Litigation Support/Dispute Resol...

Litigation Support/Dispute Resolution - A service that CPAs every so often provide to attorneys -for example expert testimony about the value of a business or other asset, for

Format for balance sheet, FORMAT FOR BALANCE SHEET The non current asse...

FORMAT FOR BALANCE SHEET The non current assets, current assets and current liabilities sections remain identical to those of a sole proprietorship.  However, the “capital sect

What are the cash collections in sept. from accounts rec.?, Wright Corporat...

Wright Corporation began its operations on September 1 of the current year. Budgeted sales for the first three months of business are $243,339, $313,087, and $415,174, respectively

What are the potential benefits of implementing abc, Question 1: (a) De...

Question 1: (a) Define program evaluation. (b) Discuss the four types of program evaluation that are usually carried in the Public Sector. Question 2 (a) You have

Cash flow estimation and capital budgeting, Cash flow Estimation and Capita...

Cash flow Estimation and Capital Budgeting XYZ Electronics, Inc. is a manufacturer of eBook Readers. Its current model is selling excellently. However, in order to cope with t

Legal aspects-autonomous branches, Legal Aspects There is no law relating...

Legal Aspects There is no law relating to branch accounts but examination problems under this heading are frequently linked to either partnership or company account problems. Ans

Show that a price is not an equilibrium price for asset, 1. Suppose that th...

1. Suppose that the one-period rate is 4% and that the two-period rate is 6%. What sort of expectation for the one-period rate next period makes this situation an equilibrium? 2

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd