Expected return over the benchmark, Risk Management

Assignment Help:

The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).

Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).

 


Related Discussions:- Expected return over the benchmark

Homework 2, I have already sent my homework yesterday, please respond: from...

I have already sent my homework yesterday, please respond: from email:

Underwriting Principles, Which of the following statements about group insu...

Which of the following statements about group insurance underwriting principles is (are) true? I. If a plan is contributory, 100 percent of the eligible employees must be covered.

Risk management decisions should be transparent, Risk management decisions ...

Risk management decisions and practices should be transparent Risk management should include the identification and systematic documentation of all elements of the risk managem

CAPM and Security Market Line, Assume that CAPM hypotheses are verified. a...

Assume that CAPM hypotheses are verified. a) Represent the Security Market Line (SML) for a market with a risk premium of 5% and a return of 7% for the Treasury bills. b) Suppos

Audit of home retail group , Critically assess the risk-based approach to e...

Critically assess the risk-based approach to external audit with particular reference to the audit of Home Retail Group plc. Note: You must give examples of how you might col

Risk management, Risk Management Many organization and investors engag...

Risk Management Many organization and investors engage in activities designed to manage the risks they face. In the corporate world the managers' search to control business ri

Roles and responsibilities for risk management, Determine the roles and res...

Determine the roles and responsibilities for risk management at senior management level • The role and contents of the risk management strategy, including risk profile, risk app

Define risk analysis, RISK ANALYSIS: THE NEW  PARADIGM  IN FOOD SAFETY  ASS...

RISK ANALYSIS: THE NEW  PARADIGM  IN FOOD SAFETY  ASSURANCE   In  the  early  part  of  the  20th  Century, safety  concerns  led  to  the development of performance  criteria

Stress testing, How do you carry out stress testing in a mortgage banking i...

How do you carry out stress testing in a mortgage banking institution?

Components of risk management system, (a) Risk has always been an intrinsi...

(a) Risk has always been an intrinsic part of project management. With increasing market competition, technology, and globalisation, risk management is continuously gaining wider

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