Assignment FAPM Portfolio Optimisation.

April 2016.

Construct the following portfolios of between 10 and 15 stocks of your choosing using the
Markowitz mean-variance framework.

i.
ii.
iii.
iv.
v.

The minimum variance portfolio.

The efficient portfolio for a given level of required portfolio expected return.
The tangency portfolio without a risk-free asset.
The tangency portfolio with a risk-free asset.
A nave portfolio comprised of equally weighted asset allocations.

Be sure to justify risk-free rates, time periods, required rates of return and any other
assumptions made.

Discuss the differences in the resultant portfolios.

Examine each the portfolios out of sample contrasting and discussing the resultant portfolio
returns and risk.

You may work in groups of three or four for the purposes of research.

Each students work must however be individual.

The final report is to be no more than 3,000 words.

The due date is Friday 29th of April.