Assignment: "Optimal complete portfolio and systematic risk of Australian firms: Impact of Global Financial Crisis (GFC)"
There are two parts of this topic: first part is about constructing optimal complete portfolio during and after the GFC. Sixty per cent (60%) mark is allocated for this part. In second part you are required to calculate systematic risks of the firms (selected for part A) during and after the GFC.
What will you need to do in this assignment?
1. (i) You will need to form optimal complete portfolios with two risky and one risk- free asset during GFC and post-GFC periods. Please see "Assignment: How to download data from Yahoo Finance" for more details.
2. (ii) You will also need to calculate systematic risks of two risky assets (i.e., two stocks) during GFC and post-GFC periods. Please see "Assignment: How to download data from Yahoo Finance" for more details.
Structure of the assignment
Introduction
In Introduction you should briefly state the importance of forming optimal portfolio and the systematic risk of stocks. Based on this discussion you justify the topics of the assignment. This part should have approximately 150 words
(1)
Company profile
You should briefly discuss the profiles of the companies (i.e., companies whose stock returns will be used in your assignment. This part should have approximately 100 words.
Empirical analysis
Present your calculations in this part (approximately 100 words)
Analysis of finding: Topic 1:
Consider following: Are the weights of risky and risk-free assets different in post-GFC period compared to GFC period? What is/are your observation(s)? (approximately 75 words)
Analysis of finding: Topic 2
Consider following: Are the systematic risks of risky assets (i.e., stocks) assets different in post-GFC period compared to GFC period? Which one becomes more risky? What is/are your observation(s)? (approximately 75 words)
Conclusions (approximately 100 words)
Consider following: What did you observe in your analysis? How did weights of individual assets change between GFC and post-GFC periods? How did systematic risks of stocks change?
(Total words of this assignment should not be less than 600).