ASSIGNMENT – ECON 41015 PORTFOLIO MANAGEMENT Durham University

SUMMATIVE ASSIGNMENT – ECON 41015 PORTFOLIO MANAGEMENT

  • DeMiguel, Garlappi and Uppal (2007) find that the naive diversification or the 1/N rule is generally no worse than many more sophisticated strategies suggesting that “there are still many miles to go before the gains promised by optimal portfolio choice can actually be realized out of sample.”
  • The objective of this assignment is to understand why optimal portfolios are not well- performing particularly when compared against the equally-weighted portfolio, and learn how academics and practitioners have been addressing this issue. By replicating some of the portfolio models, students will have an opportunity to practise Matlab and understand potential issues that might arise during implementation.
  • Students are encouraged to use Matlab for empirical analysis, but other programs are also allowed.
  • The report must follow the structure:
  • Introduction (5%)

Give a brief introduction of your report. Make it short.

  • Literature Review (40%)

Choose three papers that are related to the subject; that is, papers comparing portfolio models, and provide a detailed summary of each paper. The summary may include the portfolio models, datasets, evaluation method, and main findings of each paper. Please use Harvard style to cite references. Do not copy and paste a long sentence from references. If you want to use them in the report, you should re-write the points in the references using your own words. The report should have an easy structure to follow. Critically evaluate each paper. A focused review on a small number of papers is preferred to a brief review of many papers.

  • Empirical Analysis (40%)
    • Choose one paper and replicate it using a different dataset. The dataset will be uploaded in Ultra in due course. If the paper contains several models, choose one for replication.
    • Provide a description of the model with implementation details.
  • Evaluate the model using the dataset. Evaluation should include comparison with the equally-weight portfolio. Discuss your findings: compare them with the results presented in the original paper and critically evaluate them.
  • Conclusion (15%)

Reflect on your findings and provide your view on the effectiveness of optimal portfolio models. Are we better off with the equal-weight portfolio?

Overall word limit: 2500 WORDS MAXIMUM

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:

  • Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.
  • Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.

Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted

work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.

Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment – examiners are under no obligation to read appendices and they do not form part of the word count. Material that students wish to be assessed should always be included in the main body of the text.

Guidance on referencing can be found in the programme handbook and on ULTRA.

MARKING GUIDELINES

Performance in the summative assessment for this module is judged against the following criteria:

  • Relevance to question(s)
    • Organisation, structure and presentation
    • Depth of understanding
    • Analysis and discussion
    • Use of sources and referencing
    • Overall conclusions

The word count should include all the text (plus endnotes and footnotes), but exclude diagrams, tables, bibliography, references and appendices. Guidance on referencing can be found in your Assessment handbook under ‘Things you Need to Know’ on Sharepoint.

PLAGIARISM AND COLLUSION

Students suspected of plagiarism, either of published work or the work of other students, or of collusion will be dealt with according to School and University guidelines.

Your assignment will be put through the plagiarism detection service.

END OF ASSESSMENT

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