INVESTMENT FINANCE

| June 19, 2015

Essay, Finance and Accounting
INVESTMENT FINANCE

1.Please randomly choose 30 stocks from the Australian stock market (asx.com.au) and based on the past three years” monthly data,

2. draw an efficient frontier and a minimum variance frontier.

3. Assume the investor”s risk aversion coefficient is 4, please find the optimal complete portfolio. (Hints: what type of rate of return will you use (single return, discrete return, continuous return), and why? Will you annualize the returns? What type of average will you use (time-weighted average including arithmetic and geometric average, or dollar weighted average), and why? Are the borrowing rate and lending rate the same? Why?

5. Create an excel template and use "solver" function.) (15 marks, please submit an excel template with a word report introducing the methodology and listing all the references including the website where you get the data.)

6. Portfolio margin align margin requirements with the overall risk of the portfolio rather than individual stock. Please design a portfolio margin mechanism, and then compare the leverage for portfolio margining and stock margining based on the portfolio you created. (20 marks, again, both excel template and word report 750 words are required.)

7. Please do not miss any of questions, And use excel to calculate, show all the calculate steps. No step, no excel, no marks. And intext reference and reference list will be required.

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