Portfolio Optimisation and Portfolio Performance
This coursework is designed to illustrate
practical aspects of portfolio
ormance measurement. This exercise involves the
By doing the optimisation
using Excel Solver, you are required to c
mean variance efficient portfolio frontier
for any 10 randomly selected ordinary
shares listed on a stock marke
t. For all your calculations, you should use the 60
monthly returns, sample means, standard deviations, and covariance and
the portfolio frontier
and comment on the weights of
os along the portfolio frontier
in your discussion the
correlations among the 10 shares.
By Identifying and combining a riskless asset with the 10 shares, plot the
portfolio frontier and select the tangent portfolio
on the portfolio frontier
Provide the rationale for your choice of t
he riskless asset.
short selling is not allowed, how
your efficient frontiers would
differ from those with short selling allowed in
questions 1 and 2 above.
dentify the appropriate benchmark index and critically evaluate the
of the tangent portfolio selected above using various
portfolio performance measurement indices. Justify your choice of the
Comment on the limitation of your analysis and
the gains in
the performance of t
he identified portfolio
with the associated risks
investment in the shares listed on
You are expected to demonstrate the knowledge, understanding and effective use
of the analy
tical tools, underlying theory, and concepts taught in the lectures and
Make sure that the random sample of shares for this exercise should be chosen by
and must not be borrowed or copied from any
. You will
d with the instructions for using Excel Solver in one of the seminars.
Submitting your coursework
You must make sure that you submit your coursework by the publicised deadlines. It is
your responsibility to make sure you’re aware of your deadlines.
It is very important that you let us know if you’re unable to meet the deadline for
ting your coursework, or if you won’t be able to attend an examination. If you
can’t meet a deadline then you should contact your
Handing in at your Faculty Office
You should complete
Coursework Submission Form
Hard copy of your course work
copy of the “Turn
And a soft copy on a CD/USB
The Faculty Office can get very busy during hand
in periods so to save time you
should complete the Submission Form before you submit your c
will date stamp your Coursework Submission Form and give you a
receipt which you should put in a safe place as it’s your only proof of submission.
Late Submission of written coursework
Key points to note are:
sion is only permitted for written coursework and dissertations.
Late submission is permitted up to two weeks without extenuating circumstances.
Undergraduate and Masters work is treated exactly the same.
Work submitted late is marked as normal but the mar
k given to the work is capped at
the pass mark. The only exception to this is when a student has DDS arrangements
Work submitted more than two weeks late receives a capped mark of zero.
There is no extension available for referred coursework. Ref
submitted late always receives a mark capped at zero.
A cap on a mark can always be lifted if there are valid extenuating circumstances.
Information on the extenuating circumstances procedure can be found on my.lsbu.
If you are unable to
hand in your work by the deadline you should complete the
Non Submission of Assessment Form
available on my.lsbu.
If you are registered with Disability & Dyslexia Support
Your arrangements with
Disability & Dyslexia Support (DDS)
for late submission of
You should inform your Course Director or Year
Tutor and make sure you fill out a
Late or Non Submission of Assessment
detailing that you have this
arrangement in place.