AFIN3052 Project Assignment
AFIN3052 Project Assignment
The senior management of Invest ‘Em All has agreed to implement the long-short strategy that you developed in the group report (i.e. Portfolio a). The senior would like to provide custom made investment solutions to the clients. This investment solution will be a portfolio of the risk-free asset and the optimal risky portfolio. Write a proposal to the senior management to address the following tasks.
AFIN3052 Project Assignment
Tasks:
1. Provide details related to investor utility.
2. Suggest how one’s utility can be optimised under the mean-variance portfolio framework.
3. Uses the average of the digits in your student ID as your risk aversion coefficient to find your optimal portfolio. Comment on this portfolio and list out the assumption that you have made in the calculation. (E.g if your student ID is 45678901, your risk aversion coefficient is A=5)
4. Other comments or discussions you find relevant.
DETAILED ASSIGNMENT
