1E4306 - Introduction to Financial Engineering 1. Download the historical daily closing prices for BIST100 index. Similarly download the historical prices of 10 of the 12 other stocks as given in the appendix. Use the historical data for two years for train period (for example 2018 and 2019). If you are doing a group project select one list from one of the group members. You can download from yahoo finance. 2. Calculate the expected return, and variance of BIST100 index. 3. Calculate the expected return and covariance matrix for the stocks you selected. USE YEARLY DATA. Note: the yearly return is 252 x daily return. Yearly covariance is 252 x daily covariance. (Expected return for stock 1 is r and expected return for stock 2 is 19...) 4. Using the expected return and covariance information for the stocks find the minimum variance portfolio of these ten stocks. You can use excel solver to solve the problem. 5. Design 2 other portfolios other than the minimum variance portfolio. 6. Define a fixed return asset and find the return of the fixed asset. 7. For the three different funds defined in step 4 and step 5 analyse the performance in 2020. Calculate the portfolio return and risk. Calculate the performance using the market portfolio as the BIST 100 index, In particular you can check the Jensen and the Sharpe index. 1E4306 - Introduction to Financial Engineering 1. Download the historical daily closing prices for BIST100 index. Similarly download the historical prices of 10 of the 12 other stocks as given in the appendix. Use the historical data for two years for train period (for example 2018 and 2019). If you are doing a group project select one list from one of the group members. You can download from yahoo finance. 2. Calculate the expected return, and variance of BIST100 index. 3. Calculate the expected return and covariance matrix for the stocks you selected. USE YEARLY DATA. Note: the yearly return is 252 x daily return. Yearly covariance is 252 x daily covariance. (Expected return for stock 1 is r and expected return for stock 2 is 19...) 4. Using the expected return and covariance information for the stocks find the minimum variance portfolio of these ten stocks. You can use excel solver to solve the problem. 5. Design 2 other portfolios other than the minimum variance portfolio. 6. Define a fixed return asset and find the return of the fixed asset. 7. For the three different funds defined in step 4 and step 5 analyse the performance in 2020. Calculate the portfolio return and risk. Calculate the performance using the market portfolio as the BIST 100 index, In particular you can check the Jensen and the Sharpe index
