The assignment is in three parts, 1,2 and 3. The requirements of each part are detailed below.
This assignment is designed to let you explore and evaluate a number of approaches to investment portfolio optimisation, using live real?world data. The relevant URL for finding stock prices is: https://au.finance.yahoo.com/ under the “Quote lookup” search. In this assignment you will use asset return data from a period of 4 years to identify the optimum portfolio using a variety of different optimisation methods and according to each of these methods.
The first stage is to identify a set of 15 investment items from which you will subsequently determine optimum portfolios, subject to various optimisation models. You may select any global assets (including indices) whose data is provided on the Yahoo finance website. The 15 assets chosen must satisfy the following general constraints:
Each must have at least 48 months (March 2014 ? March 2018) of monthly data available, up to and including March 2018.
They should be selected from 5 different sectors/categories (C1, C2,…, C5) e.g. banking, pharmaceuticals, media, technology, government bonds, property trusts, etc. – your choice, with at least 2 assets in each category.
They should span a reasonable range of volatilities/risk. Classify the assets into 4 groups according to (ascending) risk (R1, R2, R3, R4). It is up to you to determine the basis for the classification, but ensure there are at least 3 assets in each of R1 to R4 – this is a slightly arbitrary requirement! A simple, and acceptable approach would be to divide the range of risks into 4 quartiles, as long as the previous requirement is met.
Recall that each asset lies in one of the Rs and in one of the Cs.
The assignment requires you to consider three different approaches to portfolio optimisation:
These three approaches allow exploration of three different optimisation techniques: linear programming, integer programming and non?linear programming:
Use a sensitivity analysis report to comment on how changes to the risk and category constraints might affect the optimum portfolio.
Summarise your report (all of above parts) in a Powerpoint, present all your results comparatively in a coherent and compelling manner, and then, based on your assessment of the various approaches, explain briefly about a strategy that you might prefer to use for portfolio optimisation. For each optimisation model, explain about the optimisation approach taken, the mathematical formulation and identify the Excel Solver to be used (explaining any particular constraints used – e.g. that a variable needs to be an integer, or binary).
Assignments will be marked based on the methodologies adopted, and the quality of work. Given the vast range of assets to select from on the yahoo site it is highly unlikely that you will choose the same portfolio of stocks as.
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