Mean Variance Optimization Report Assignment | College Homework Help

Paper Instructions will be included under files. I have attached videos on how to perform excel requirements. Format can either be in two column and 7 pages or standard format and 5 pages. Excel sheet will also need to be provided within paper and also as a separate document .I have also provided a peer’s risk project to supplement your effort. Charts and graphs will need to be included. Please contact me for ANY questions. Thank youProject: Mean-Variance Optimization
Due Date:  Both as a Word Document Report and Supporting Excel File
(submitted on Blackboard)
Purpose:
1. Provide students a real-world application of asset allocation, following a process as
done by many financial planners.
2. Provide an opportunity to apply course material to explain an asset allocation
recommendation in understandable (to a well-educated non-finance person) but
using appropriate technical terms.
Specific Tasks:
1. Open Excel file “Portfolio VaR Updated” and save with new name.
2. Prepare the Excel spreadsheet as instructed in the videos, making sure to use your
own set of constraints, different from those provided in the example file.
3. Prepare an asset allocation recommendation paper for a fictitious client, including
the following sections (including graphics as appropriate):
a. Definition of your client (risk profile and risk tolerance, current portfolio,
goals (for example, saving for retirement).
b. Assumptions (asset class assumptions (you can reference Professor’s
assumptions), theory of finance using (efficient frontier, mean, standard
deviation), others) and constraints (be sure to include your rationale for
your constraints)
c. Summary of your analysis
i. Mean-variance analysis (put the efficient frontier graph in your
paper), including how you came up with your recommended portfolio
and other portfolios you considered
ii. Historical VaR Anlaysis
d. Final recommendation along with rationale
e. Style analysis of a mutual fund and recommendation as to if that fund is a
good fit to execute your asset allocation recommendation.
i. Assume your client comes to you with a balanced portfolio mutual
fund (contains both stocks and bonds (usually will have “balanced” or
“asset allocation” in title)). You will run the style analysis to
determine if that mutual bfund would be a good fit for your
recommendation. You do not need to find a mutual fund that has a
high R-squared to your recommended allocation.
4. Manager attribution of a single asset class mutual fund (for example: U.S. Large
Cap Growth). Assess the manager’s alpha, tracking error, information ratio, batting
average, upside/downside capture, Sharpe ratio, Upside/Downside Capture,
Jensen ratio, and Treynor index. The following videos provide more guidance:
a. https://www.youtube.com/watch?v=rD82uGAazyY
b. https://www.youtube.com/watch?v=Ii4Edw4zT8E
Student Input: These videos will also help you with the excel sheet. They are step
by step instructions in videos.
Videos for next week:
March 31 (Class 17): these are all on the Risk Project, so I do not need your notes on
these videos for attendance.



April 2 (Class 18):


Instead of a video, please read through and quickly summarize this short article. I
mentioned in class that it is important that you have some exposure to FASB 157, and
this fits well with the discussion of price discovery in the two videos above: https://
financetrainingcourse.com/education/2010/07/fas-157-fair-value-accounting-andlevel-
3-assets/