Variance Optimization - Hedge Fund - Initial Cash Balance - Optimal Risky Portfolios - Management Assignment Help

Assignment Task:

Management Assignment Help

Task 1

The initial cash balance is £900,000 that you can use in total or partially. Your client wants you to produce a set of minimum variance and efficient portfolios with and
without short selling restriction using any 30 stocks of your choice. And your client would like to invest in the optimal risky portfolios to maximize the reward to
volatility ratio.

Task 2

You have the mandate to construct an Investment Fund. The initial cash balance is £450,000 that you can use in total or partially. Your client would like to invest in some
non-traditional investments such as socially responsible investment funds or Islamic funds. In your report you have to:

a. Define the Investment objective and policy (strategic asset allocation risk profile, benchmark, constraints, etc.)

b. Explanation of the rationale behind the portfolio construction

c. What are the characteristics and composition of your portfolio? Why have you structured in this way.

d) Concerning your Investment Fund, analyse your risk/return performance against an appropriate benchmark (justification of the benchmark should be provided). It is
expected the use of Sharpe, Treynor and Sortino’s ratios and Jensen’s Alpha. In addition, you should calculate the Performance Attribution – Return Decomposition
Analysis of your fund. Any adjustments in the investment fund should be explained (tactical analysis).

Task 3

You are a hedge fund manager. The initial cash balance is £350,000 that you can use in total or partially. As there is positive evidence for momentum strategies, you
would like to apply the following long/short Portfolio Construction Techniques: “buying winners and selling losers”. For example, holding the winners from the past
six months and shorting the losers from the past six months.

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