Dear Students,

Please prepare an Excel sheet, Word report and Powerpoint presentation for the following case.

Bloomberg Case study:

After completing your first month in your portfolio theory class, You started to think about what you learned in Markowitz and Treynor-Black portfolio optimization techniques. Thinking about your future investments, you decided to analyze the performance of 10 stocks from different sectors. Using their historical returns as a reference for expected return and risk. You started a comprehensive analysis trying to perform the following tasks:

1) Analyze the expected return for each stock and their level of risk. Elaborate on their risk characteristics. (systematic and unsystematic risks.)

2) Using annual historical returns, conduct a Markowitz portfolio optimization. Show the efficient frontier and show if there was any diversification benefits. With a constraint that no stock should weigh more than 200% and less than -200%. (show individual stocks and the efficient frontier).

3) What will happen to the efficient frontier if you didnt want to have any short position? (Redo 2 with this limitation).

4) What is the worst stock in terms of diversification benefits? Why?

5) You wanted to see if the exposure to 2 alternative investment vehicles would offer any benefits to your optimization analysis. 6) Redo your optimization using Treynor and Black model.

Bloomberg Case study: After completing your first month in your portfolio theory class, You started to think about what you learned in Markowitz and Treynor-Black portfolio optimization techniques. Thinking about your future investments, you decided to analyze the performance of 10 stocks from different sectors. Using their historical returns as a reference for expected return and risk. You started a comprehensive analysis trying to perform the following tasks: 1) Analyze the expected return for each stock and their level of risk. Elaborate on their risk characteristics. (systematic and unsystematic risks.) 2) Using annual historical returns, conduct a Markowitz portfolio optimization. Show the efficient frontier and show if there was any diversification benefits. With a constraint that no stock should weigh more than 200% and less than -200%. (show individual stocks and the efficient frontier). 3) What will happen to the efficient frontier if you didn't want to have any short position? (Redo 2 with this limitation). 4) What is the worst stock in terms of diversification benefits? Why? 5) You wanted to see if the exposure to 2 alternative investment vehicles would offer any benefits to your optimization analysis. 6) Redo your optimization using Treynor and Black model. Bloomberg Case study: After completing your first month in your portfolio theory class, You started to think about what you learned in Markowitz and Treynor-Black portfolio optimization techniques. Thinking about your future investments, you decided to analyze the performance of 10 stocks from different sectors. Using their historical returns as a reference for expected return and risk. You started a comprehensive analysis trying to perform the following tasks: 1) Analyze the expected return for each stock and their level of risk. Elaborate on their risk characteristics. (systematic and unsystematic risks.) 2) Using annual historical returns, conduct a Markowitz portfolio optimization. Show the efficient frontier and show if there was any diversification benefits. With a constraint that no stock should weigh more than 200% and less than -200%. (show individual stocks and the efficient frontier). 3) What will happen to the efficient frontier if you didn't want to have any short position? (Redo 2 with this limitation). 4) What is the worst stock in terms of diversification benefits? Why? 5) You wanted to see if the exposure to 2 alternative investment vehicles would offer any benefits to your optimization analysis. 6) Redo your optimization using Treynor and Black model