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.
Upon completion of this course, students should be able to:
- arrange monthly closing prices of benchmark index and selected stocks to required format and calculate their monthly natural logarithmic (ln) returns;
- compute average monthly ln returns and monthly standard deviations of benchmark index and selected stocks; and convert them into yearly returns and standard deviations;
- arrange the yearly ln returns of selected stocks and form Return matrix of selected stocks;
- compute covariance among selected stock; arrange the data and form Covariance matrix of selected stocks;
- 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;
- compute and draw Capital Market Line and, together with Riskfree Asset, form Optimal Complete Portfolio;
- draw efficient frontier, Capital Market Line and indifference curve on Risk-Return plane; and
- prepare data for backtesting in Bloomberg.
Students, though it is not a must, should preferably possess a good working knowledge of Microsoft Excel.
Dr SIU Yam Wing
Department of Economics and Finance