代写FIN309 Investments Group Assignment代做留学生Matlab编程

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FIN309 Investments Group Assignment

Question 1

1. Calculation Logic

Data Scope: January 2015 - December 2024 (120 months), covering 5 assets with assigned weights: CSI300 (30%), CSI500 (20%), CSI1000 (20%), CSI Aggregate (15%), SSE (15%).

Question 2

1. Optimization Objective

Minimize portfolio volatility with constraint , considering two scenarios: short-selling permitted (weights can be negative) and short-selling prohibited (weights ≥ 0).

2. GMV Portfolio (Short-Selling Permitted)

Asset	Weight
CSI300	-12.3%
CSI500	-8.7%
CSI1000	-5.2%
CSI Aggregate	68.5%
SSE	57.7%
Expected Return	3.15%
Volatility	2.74%

3. GMV Portfolio (Short-Selling Prohibited)

Asset	Weight
CSI300	0.0%
CSI500	0.0%
CSI1000	0.0%
CSI Aggregate	52.8%
SSE	47.2%
Expected Return	3.02%
Volatility	2.81%

Question 5

1. Additional Assets & Assumptions

· New assets: S&P500, HANG SENG, HANG SENG REIT (total 8 assets)

· Assumptions: Risk-free rate R_f= 0, short-selling permitted, bjective = maximize Sharpe ratio.

2. Tangency Portfolio Results

Asset	Weight
CSI300	8.2%
CSI500	12.5%
CSI1000	9.7%
CSI Aggregate	-4.3%
SSE	-3.1%
S&P500	45.6%
HANG SENG	-12.7%
HANG SENG REIT	44.1%
Expected Annual Return	7.89%
Annual Volatility	11.32%
Sharpe Ratio (\(R_f=0\))	0.697

3. Performance Comparison

Portfolio Type	Sharpe Ratio R_f=0	Key Insight
Baseline (Domestic Only)	0.284	Low risk-adjusted return
With International Assets	0.697	145% improvement in Sharpe ratio

4. Conclusion

Including international assets significantly improves portfolio performance due to:

· Diversification: Low correlation between domestic and international assets (e.g., CSI300 vs. S&P500 correlation = 0.42) reduces overall volatility.

· Return Enhancement: S&P500 (7.65% annual return) and HANG SENG REIT (5.83% annual return) boost the portfolio's expected return.