Foundations of Finance
Foundations of Finance
Project description
lemonaris 3 is the essay title. lemonaris 2 is to be completed. lemonaris 1 are my 20 stocks which I will have to use. later on you will have to do the computation in
maple with the stocks and when you have the results you will have to answer the question. Care for plagiarism due to previous problems. Thank you in advance.
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Added on 09.03.2015 00:45
1. As the FIRST step of your coursework. It is an Excel file. complete
i) Share returns, r, in the cells (U3 to JN12) – light green in colour
ii) The correlation matrix in the cells (D3 to M12) light blue in colour
iii) The standard deviation vector in the cells (Q3 to Q12) light pink in colour
To help you see how you should do these calculations, I have done some of the calculations for the first two stocks. Complete the rest. Find a lab PC and sit together
as a group and complete the rest.
2. The SECOND step of your coursework. please ensure that you have completed the returns, the correlation matrix and the standard deviation vector. These are NEEDED
for the computation in Maple, to calculate the optimal portfolio weights. for the case of a few stocks, how you can do the portfolio optimisation using Maple. Your
coursework requires you to do this with 20 stocks in the portfolio. If you can see how to do it for 5 stocks, then you can do it for 20 stocks.
BE312 Coursework 2.
Question 1 (100 Marks).
You are given the daily prices for the calendar year 2014, for 20 stocks randomly selected from the Financial Times Stock Exchange 100 (FTSE100). Evaluate the weights
of that portfolio which will minimise your portfolio’s variance, which means you should compute the weights of the minimum variance portfolio (MVP).
You need to find the weights for the MVP, under two different restrictions:
1. Short Sales are NOT allowed, which means weights CANNOT be negative, so that only long positions are allowed.
2. Short Sales are allowed, which means weights can be negative, so that short positions are also allowed.
The daily prices of the necessary stocks from the FTSE100 are in an Excel file, sent to each of you. This file includes the ID Numbers of your unique portfolio of 20
firms. Using the allocated firms, compose the portfolio of YOUR twenty firms and solve the variance minimisation problem for your portfolio.
Prepare an investment analyst report, describing the steps you took to find the minimum variance portfolio (MVP) in each of the two cases (1) and (2).
Corr Standard Deviation
Group 1 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41
42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62
63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83
84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104
105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125
126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146
147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167
168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188
189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209
210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230
231 232 233 234 235 236
ID No Name ASSOCIATED BRIT.FOODS BABCOCK INTL. CAPITA EXPERIAN ICTL.HTLS.GP. MORRISON(WM)SPMKTS. RANDGOLD RESOURCES SCHRODERS
TESCO UNITED UTILITIES GROUP Name ID No. 1/1/2014 1/2/2014 1/3/2014 1/4/2014 1/7/2014
1/8/2014 1/9/2014 1/10/2014 1/11/2014 1/14/2014 1/15/2014 1/16/2014 1/17/2014 1/18/2014 1/21/2014
1/22/2014 1/23/2014 1/24/2014 1/25/2014 1/28/2014 1/29/2014 1/30/2014 1/31/2014 2/1/2014 2/4/2014
2/5/2014 2/6/2014 2/7/2014 2/8/2014 2/11/2014 2/12/2014 2/13/2014 2/14/2014 2/15/2014 2/18/2014
2/19/2014 2/20/2014 2/21/2014 2/22/2014 2/25/2014 2/26/2014 2/27/2014 2/28/2014 3/1/2014 3/4/2014
3/5/2014 3/6/2014 3/7/2014 3/8/2014 3/11/2014 3/12/2014 3/13/2014 3/14/2014 3/15/2014 3/18/2014
3/19/2014 3/20/2014 3/21/2014 3/22/2014 3/25/2014 3/26/2014 3/27/2014 3/28/2014 4/2/2014 4/3/2014
4/4/2014 4/5/2014 4/8/2014 4/9/2014 4/10/2014 4/11/2014 4/12/2014 4/15/2014 4/16/2014 4/17/2014
4/18/2014 4/19/2014 4/22/2014 4/23/2014 4/24/2014 4/25/2014 4/26/2014 4/29/2014 4/30/2014 5/1/2014
5/2/2014 5/3/2014 5/7/2014 5/8/2014 5/9/2014 5/10/2014 5/13/2014 5/14/2014 5/15/2014 5/16/2014
5/17/2014 5/20/2014 5/21/2014 5/22/2014 5/23/2014 5/24/2014 5/28/2014 5/29/2014 5/30/2014 5/31/2014
6/3/2014 6/4/2014 6/5/2014 6/6/2014 6/7/2014 6/10/2014 6/11/2014 6/12/2014 6/13/2014 6/14/2014
6/17/2014 6/18/2014 6/19/2014 6/20/2014 6/21/2014 6/24/2014 6/25/2014 6/26/2014 6/27/2014 6/28/2014
7/1/2014 7/2/2014 7/3/2014 7/4/2014 7/5/2014 7/8/2014 7/9/2014 7/10/2014 7/11/2014 7/12/2014
7/15/2014 7/16/2014 7/17/2014 7/18/2014 7/19/2014 7/22/2014 7/23/2014 7/24/2014 7/25/2014 7/26/2014
7/29/2014 7/30/2014 7/31/2014 8/1/2014 8/2/2014 8/5/2014 8/6/2014 8/7/2014 8/8/2014 8/9/2014
8/12/2014 8/13/2014 8/14/2014 8/15/2014 8/16/2014 8/19/2014 8/20/2014 8/21/2014 8/22/2014 8/23/2014
8/27/2014 8/28/2014 8/29/2014 8/30/2014 9/2/2014 9/3/2014 9/4/2014 9/5/2014 9/6/2014 9/9/2014
9/10/2014 9/11/2014 9/12/2014 9/13/2014 9/16/2014 9/17/2014 9/18/2014 9/19/2014 9/20/2014 9/23/2014
9/24/2014 9/25/2014 9/26/2014 9/27/2014 9/30/2014 10/1/2014 10/2/2014 10/3/2014 10/4/2014 10/7/2014
10/8/2014 10/9/2014 10/10/2014 10/11/2014 10/14/2014 10/15/2014 10/16/2014 10/17/2014 10/18/2014 10/21/2014
10/22/2014 10/23/2014 10/24/2014 10/25/2014 10/28/2014 10/29/2014 10/30/2014 10/31/2014 11/1/2014 11/4/2014
11/5/2014 11/6/2014 11/7/2014 11/8/2014 11/11/2014 11/12/2014 11/13/2014 11/14/2014 11/15/2014 11/18/2014
11/19/2014 11/20/2014 11/21/2014 11/22/2014 11/25/2014 11/26/2014 11/27/2014 11/28/2014 11/29/2014 12/2/2014
12/3/2014
9 ASSOCIATED BRIT.FOODS 1.0000 0.2484 0.0158
ASSOCIATED BRIT.FOODS 9 0.0176 0.0145 0.0048 -0.0012 -0.0059 0.0127 0.0161 0.0266 0.0011 0.0124 -0.0263 0.0088 0.0166 0.0423 -0.0082 -0.0079
-0.0062 -0.0171 0.0048 -0.0081 0.0171 -0.0069 -0.0107 0.0283 0.0438 -0.0083 -0.0042 -0.0130 -0.0018 -0.0039 0.0057 0.0007 0.0142 0.0217 0.0003 0.0178 0.0088
-0.0244 0.0120 0.0030 0.0054 0.0060 -0.0093 0.0192 -0.0155 0.0034 -0.0070 0.0024 -0.0074 -0.0112 -0.0202 -0.0091 0.0014 -0.0123 -0.0018 -0.0107 -0.0043 0.0040
0.0108 0.0129 0.0060 -0.0077 -0.0173 0.0011 -0.0101 0.0094 0.0061 -0.0164 -0.0392 -0.0159 0.0261 -0.0097 0.0087 -0.0052 0.0083 0.0131 0.0000 0.0000 0.0041
0.0882 -0.0327 0.0143 -0.0024 0.0162 0.0085 0.0088 -0.0324 0.0000 0.0217 0.0034 0.0003 -0.0098 0.0126 -0.0054 -0.0003 -0.0067 0.0200 0.0223 -0.0003 -0.0153
-0.0010 -0.0175 0.0000 0.0209 -0.0033 0.0020 -0.0023 0.0033 -0.0036 0.0103 -0.0046 -0.0023 0.0099 0.0013 -0.0056 0.0036 -0.0098 -0.0093 -0.0023 0.0201 0.0069
0.0049 -0.0068 -0.0036 -0.0128 0.0076 0.0013 0.0023 -0.0056 0.0214 0.0003 0.0087 0.0000 -0.0256 -0.0148 -0.0140 -0.0030 0.0003 -0.0180 0.0010 -0.0083 -0.0118
-0.0120 0.0082 0.0152 0.0070 -0.0090 -0.0063 0.0039 -0.0199 -0.0093 -0.0011 -0.0058 0.0098 -0.0158 -0.0007 -0.0197 0.0108 0.0199 0.0018 0.0043 0.0075 0.0171
0.0140 -0.0238 -0.0011 -0.0039 0.0000 0.0210 0.0129 -0.0148 -0.0007 0.0017 -0.0017 0.0052 0.0174 -0.0065 -0.0523 -0.0207 0.0033 -0.0118 -0.0209 0.0042 -0.0061
0.0054 0.0110 0.0060 0.0071 -0.0278 -0.0122 -0.0158 0.0082 -0.0016 0.0453 -0.0093 -0.0185 0.0177 -0.0034 -0.0117 -0.0176 -0.0047 -0.0255 0.0032 0.0208 -0.0322
0.0045 0.0371 0.0257 0.0220 0.0100 0.0070 -0.0102 0.0085 0.0029 -0.0007 0.0077 -0.0025 -0.0301 0.0419 0.0571 0.0099 -0.0047 0.0044 0.0131 -0.0030 0.0150
0.0053 0.0049 0.0020 0.0091 0.0029 0.0000 -0.0212 0.0183 0.0016
12 BABCOCK INTL. 0.2484 1.0000 0.0130 BABCOCK INTL.
12 0.0066 0.0073 0.0051 -0.0072 0.0007 0.0073 0.0065 0.0007 0.0079 -0.0029 -0.0050 0.0036 0.0036 0.0171 -0.0119 0.0106 -0.0154 -0.0143 0.0022
-0.0007 0.0007 0.0036 -0.0216 0.0007 0.0081 0.0036 -0.0073 -0.0183 0.0395 0.0108 -0.0007 0.0043 0.0035 0.0148 -0.0055 -0.0035 0.0091 0.0118 -0.0021 -0.0048
0.0042 0.0117 -0.0279 0.0245 -0.0041 -0.0041 -0.0131 0.0021 0.0035 -0.0194 -0.0163 -0.0086 0.0101 0.0022 -0.0050 -0.0014 0.0007 -0.0158 0.0066 -0.0065 -0.0666
0.0133 0.0426 0.0297 0.0094 -0.0107 0.0209 0.0028 -0.0268 0.0239 0.0028 -0.0155 -0.0208 -0.0066 0.0140 0.0023 0.0000 0.0000 -0.0206 0.0050 -0.0017 0.0017
0.0050 -0.0033 -0.0042 0.0008 0.0109 0.0000 0.0058 0.0082 -0.0082 0.0066 0.0016 0.0122 0.0089 -0.0216 -0.0294 -0.0084 0.0161 0.0067 0.0066 -0.0058 0.0000
0.0133 -0.0008 -0.0066 0.0008 0.0082 0.0049 0.0057 -0.0057 0.0163 -0.0192 -0.0008 -0.0041 -0.0016 -0.0074 -0.0124 -0.0034 -0.0160 -0.0009 0.0060 -0.0170 -0.0061
0.0000 0.0000 0.0078 0.0026 0.0017 -0.0034 0.0052 -0.0043 -0.0121 -0.0201 -0.0089 -0.0126 -0.0064 0.0201 -0.0063 0.0081 -0.0161 0.0009 0.0073 0.0153 0.0071
0.0000 -0.0141 0.0027 0.0000 -0.0071 -0.0126 -0.0164 -0.0130 -0.0009 0.0009 -0.0019 -0.0038 0.0217 -0.0046 0.0009 0.0130 0.0119 0.0045 0.0072 -0.0098 0.0090
0.0072 0.0000 0.0071 -0.0062 -0.0115 0.0063 0.0027 -0.0053 0.0036 -0.0062 -0.0072 -0.0235 -0.0028 -0.0083 -0.0084 0.0047 -0.0235 0.0192 0.0038 0.0009 0.0244
-0.0092 -0.0213 0.0028 0.0132 -0.0009 0.0065 0.0102 -0.0064 -0.0350 0.0162 0.0038 -0.0056 0.0019 -0.0038 -0.0113 -0.0086 0.0164 -0.0284 -0.0049 0.0157 0.0010
0.0173 0.0218 0.0046 -0.0101 -0.0009 0.0047 0.0046 -0.0037 0.0158 0.0009 -0.0164 -0.0093 0.0009 0.0056 0.0047 0.0222 -0.0054 -0.0009 0.0064 -0.0018 -0.0036
0.0182 0.0590 0.0093 -0.0100 -0.0262 -0.0035
24 CAPITA CAPITA 24
31 EXPERIAN EXPERIAN
31
42 ICTL.HTLS.GP. ICTL.HTLS.GP.
42
56 MORRISON(WM)SPMKTS.
MORRISON(WM)SPMKTS. 56
64 RANDGOLD RESOURCES
RANDGOLD RESOURCES 64
78 SCHRODERS SCHRODERS
78
88 TESCO TESCO 88
93 UNITED UTILITIES GROUP UNITED
UTILITIES GROUP 93
0 21.5
