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Questions and Answers of Investment Analysis Portfolio

Suppose that a simple moving average of span N is used to forecast a time series that varies randomly around a constant mean. that is. Yr = 11 + E1 • At the start of period t1 the process
Suppose that a simple moving average of span N is used to forecast a time series that varies randomly around a constant mean, that is. Y 1 = J1 + E 1• At the start of period t1 the process shifts
Suppose that a simple moving average of span N is used to forecast a time series that varies randomly around a constant. that is. Yr = J1 + E1 • where the variance of the error term is a 2. You are
Suppose that a simple moving average of span N is used to forecast a time series that varies randomly around a constant, that is. Y1 = J1 + E.·. where the variance of the error term is a 2• The
Consider the Hanning filter. This is a weighted moving average.a. Find the variance of the weighted moving average for the Hanning filter. Is this variance smaller than the variance of a simple
Consider an N -span moving average where each observation is weighted by a constant, say, ai ?:_ 0. Therefore the weighted moving average at the end of period T isa. Why would you consider using a
Data on U.S. coal production is given in Table B.l8. Plot the coal production data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Table B.l7 contains information on total annual energy consumption. Plot the energy consumption data and calculate the sample autocorrelation function.Is there an indication of nonstationary behavior
Table B.l6 presents data on the U.S. Gross Domestic Product (GOP). Plot the GDP data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Data on violent crime rates is given in Table B.l5. Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time series? Now plot the
Table B.l4 presents data on C02 readings from the Mauna Loa Observatory.Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Table B.l3 contains data on ice cream and frozen yogurt production. Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Reconsider the champagne sales data from Exercise 2.14. Take the natural logarithm of the data and plot this new time series.a. What impact has the log transformation had on the time series?b. Find
Data on U.S. coal production is given in Table B.l8. Plot the coal production data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Table B.l7 contains information on total annual energy consumption. Plot the energy consumption data and calculate the sample autocorrelation function.Is there an indication of nonstationary behavior
Table B.l6 presents data on the U.S. Gross Domestic Product (GOP). Plot the GDP data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Data on violent crime rates is given in Table B.l5. Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time series? Now plot the
Table B.l4 presents data on C02 readings from the Mauna Loa Observatory.Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Table B.l3 contains data on ice cream and frozen yogurt production. Plot the data and calculate the sample autocorrelation function. Is there an indication of nonstationary behavior in the time
Reconsider the champagne sales data from Exercise 2.14. Take the natural logarithm of the data and plot this new time series.a. What impact has the log transformation had on the time series?b. Find
Table 8.11 contains data on the monthly champagne sales in France. This is strongly seasonal data. Find the sample autocorrelation function for this time series.a. Is the seasonality apparent in the
The data on the number of airline miles flown in the United Kingdom in Table B. I 0 is seasonal. Difference the data at a season lag of 12 months and also apply a first difference to the data. Plot
Reconsider the data on the number of airline miles flown in the United Kingdom from Exercises 2.10 and 2.11. Take the first difference of the natural logarithm of the data and plot this new time
Reconsider the data on the number of airline miles flown in the United Kingdom from Exercise 2.1 0. Take the natural logarithm of the data and plot this new time series.a. What impact has the log
Table 8.10 contains data on the number of airline miles flown in the United Kingdom. This is strongly seasonal data. Find the sample autocorrelation function for this time series.a. Is the
Table 8.9 contains the annual International Sunspot Numbers. Find the sample autocorrelation function for this time series. Is the time series stationary or non stationary?
Consider the unemployment rate data in Table 8.8. Find the sample autocorrelation function for this time series. Is the time series stationary or nonstationary'?What conclusions can you draw about
Reconsider the Whole Foods Market stock price data from Exercise 2.6. Take the first difference of the data. Find the sample autocorrelation function of this new time series. Is this differenced time
Table 8.7 contains the Whole Foods Market closing stock prices. Find the sample autocorrelation function for this time series. Is the time series stationary?
Reconsider the global mean surface air temperature anomaly and the global C02 concentration time series from Exercise 2.4. Take the first difference of both time series. Find the sample
Table 8.6 contains two time series: the global mean surface air temperature anomaly and the global C02 concentration. Find the sample autocorrelation function for both of these time series. Is either
Table 8.5 contains the U.S. beverage product shipments data. Find the sample autocorrelation function for these data. Is the time series stationary or non stationary?
Consider the data on U.S. production of blue and gorgonzola cheeses in Table 8.4.a. Find the sample autocorrelation function for these data. Is the time series stationary or nonstationary'Jb. Take
Consider the U.S. Treasury Securities rate data in Table 8.1(Appendix 8). Find the sample autocorrelation function for these data. Is the time series stationary or nonstationary?
Your company manufactures and distributes soft drink beverages, sold in bottles and cans at retail outlets such as grocery stores, restaurants and other eating/drinking establishments, and vending
Explain how large forecast errors can lead to high inventory levels at a retailer.At a manufacturing plant.
Discuss the potential difficulties of forecasting the daily closing price of a specific stock on the New York Stock Exchange. Would the problem be different (harder, easier) if you were asked to
Consider an airline that operates a network of flights that serves 200 cities in the continental United States. What long-range forecasts do the operators of the airline need to be successful? What
You are the administrator of a large metropolitan hospital that operates the only 24-hour emergency room in the area. You must schedule attending physicians.resident physicians, nurses, laboratory,
Suppose that you are in charge of production scheduling at a semiconductor manufacturing plant. The plant manufactures about 20 different types of devices, all on 8-inch silicon wafers. Demand for
Your company designs and manufactures apparel for the North American market.Clothing and apparel is a style good, with a relatively limited life. Items not sold at the end of the season are usually
Suppose that you are in charge of capacity planning for a large electric utility.A major part of your job is ensuring that the utility has sufficient generating capacity to meet current and future
Explain the difference between forecast horizon and forecast interval.
What is meant by a rolling horizon forecast?
Everyone makes forecasts in their daily lives. Identify and discuss a situation where you employ forecasts.a. What decisions are impacted by your forecasts?b. How do you evaluate the quality of your
What do we mean by a causal forecasting technique?
Explain the difference between a point forecast and an interval forecast.
What is a time series? Explain the meaning of trend effects, seasonal variations, and random error.
Why is forecasting an essential part of the operation of any organization or business?
Where are the opportunities to integrate with advances in other areas of your organization?
Which changes are most relevant to your organization?
How will you take advantage of advances in portfolio management as they arise?
Howdo you intend to collect the information required for portfolio management, regardless of the methodology used?
How do you see this evolving over time?
Which methods are used within your organization to manage projects?
What are you doing to generate grassroots excitement around portfolio management within your organization?
Howare you thinking about phased introduction of portfolio management tools across your organization?
Which groups from outside your organization can benefit from portfolio management?
What is the benefit of portfolio management for each role involved in the process?
Which approach is best targeted to your organization?
What are you doing to capture and automate the repeated and repetitive processes within your business?
Do you observe that project benefits persist, decline, or remain constant in the months and years after the project ends?
What proportion of project have their postmortems read? Are you tracking benefits? Over what time period?
What proportion of projects have their postmortems completed?
How are you ensuring that sufficient communication is occurring across the portfolio?
Which of these tools are relatively more or less relevant to your organization?
How will you offer training and drive excitement and usage around the tools in the context of portfolio and project management?
What is your road map for implementing these communication tools within your organization?
How are you managing the trade-off between delivering on scope and delivering on time?
How are you ensuring sufficient time is spent on planning?
Are you killing projects to free up room for new opportunities or to react to business changed?
Are you rushing the process of portfolio implementation?
Does your portfolio management process have the appropriate level of transparency?
How is your portfolio management process adapted to your organizational type?
Which metrics are you monitoring and taking action on?
How can you simplify your project dashboard? What information do you collect that you don’t use?
How does your organization think about the risk of information not being shared and the corresponding risk of duplication of effort when information is not shared?
What is your postmortem process?
Is your process sufficiently transparent?
How are your portfolio reports linked to actionable decisions and outcomes?
How are you driving excitement and momentum around your portfolio management process?
Do you know the relative strengths of your organization in terms of portfolio management skills?
How are you optimizing your portfolio in terms of the marginal return for each level of investment?
What processes are in place to refine the way you manage projects and portfolios?
How do you ensure the projects you select aren’t merely those with the most aggressive estimates?
Are you using your portfolio management information to provide leading indicators of business performance?
If you’re just looking for a big bang of success at completion, how are you managing risk in the interim?
Are you using milestones to track your key projects incrementally?
Is your time-sheeting system capturing project and administrative work?
How collaborative is your project management process?
Are you using the implementation of a project management system as an opportunity to set aggressive goals across the organization?
How can you minimize the burden of mapping projects to strategic goals, to make the process of prioritization less onerous?
Are the strategic goals that you are using likely to remain relevant for the next three years?
Can your organizational strategy be defined in a handful of strategic goals that are applicable to multiple business units?
Are you comparing projects against each other, or just dealing with issues as they come up?
What are you consciously choosing not to do? How is that decision being made?
Do you really use everything required in a project proposal to make a go/no-go decision on a project?
Can you make the process more transparent and less bureaucratic?
Can you lower the barrier of ideas to submission? Can you widen the net of people who can submit ideas?
How can you increase the ratio of ideas to executed projects?

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