Posted: February 2nd, 2015
Paper, Order, or Assignment Requirements
Please kindly complete work as the instruction below:
Question 3 (1,000 Words)
Efficient Frontiers
Your client wants you to produce a set of minimum variance and efficient portfolios with and without short selling restriction; using any 20 stocks of your choice (from the markets listed below).
Instructions:
1) Collect the closing monthly share prices for 61 months for 20 companies from your group choice (e.g. Datastream).
2) Derive the minimum variance frontier for various levels of expected returns, without short-selling of risky assets
3) Derive the minimum variance frontier for various levels of expected returns with restricted short-selling (apply whatever restriction you consider appropriate) of risky assets allowed.
4) Plot those two minimum variance frontiers.
5) Produce a client report explaining your workings and findings.
6) Critically discuss the problems associated with short-selling.
[40 marks]
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