Portfolio Management EAF

About This Course

This course provides a step-by-step guide to construct an optimal portfolio for the Project Assignment of FIN4006 – Portfolio Management using Excel.

Learning Outcomes

Upon completion of this course, students should be able to:

1. arrange monthly closing prices of benchmark index and selected stocks to required format and calculate their monthly natural logarithmic (ln) returns;
2. compute average monthly ln returns and monthly standard deviations of benchmark index and selected stocks; and convert them into yearly returns and standard deviations;
3. arrange the yearly ln returns of selected stocks and form Return matrix of selected stocks;
4. compute covariance among selected stock; arrange the data and form Covariance matrix of selected stocks;
5. extensive use of Excel’s Data Solver function to construct efficient frontier with Minimum Variance Portfolio, other efficient portfolios, Market Portfolio and Optimal Risky Portfolio;
6. compute and draw Capital Market Line and, together with Riskfree Asset, form Optimal Complete Portfolio;
7. draw efficient frontier, Capital Market Line and indifference curve on Risk-Return plane; and
8. prepare data for backtesting in Bloomberg.