You are required to collect daily unadjusted share prices and dividends for four companies listed on the Australian Stock exchange from yahoofinance.au for the period January 2015 to December 2018. Assuming an annual treasury bill rate of 1% in your calculations, perform the following tasks:

The four companies are Alumina, IOOF Holdings, Medibank, Pendal

1. Calculate parametric, non-parametric Value-at risk (VaR), hybrid VaR and expected short-fall and interpret them. Use 95% confidence level.
2. Test the efficient market hypothesis for the four companies and interpret the results
3. Select two companies out of four companies on the basis of correlation between returns for a portfolio
4. Determine the weights that minimize the variance of the two security portfolio and calculate the risk and return of the portfolio.
5. Draw the efficient frontier for the two security portfolio
6. Now assume that you invest part of your money in government treasury bills and calculate the weights that maximize the Sharpe ratio
7. If you want to obtain a return of 0.10 from the portfolio consisting of two shares and the government treasury bill, determine the optimal weights for the two shares and the government treasury bill
8. Draw the capital market line and efficient frontier on the same graph

Answer rating: 100% (QA)

Calculate parametric nonparametric Valueat risk VaR hybrid VaR and expected shortfall and interpret them Parametric VaR Parametric VaR assumes that the returns of the asset follow a specific distribut... View the full answer