Risk Management and Analysis: mean-variance approach and single-index model
Order Description
In Question 1 you will use the mean-variance approach and data on
returns for two shares for the period April 2012–April 2015 to form a
portfolio. You will then examine the performance of your portfolio in
the period April 2015–April 2016. In Question 2 you will use the
single-index model to develop a more complete understanding of this
performance. In Question 3 you will consider changing bond yields
in the Eurozone in January 2016, and predict the effect on bond
prices.
