Research Project (Due May 29)

Portfolio Theory and Applications

In this project, your task is threefold: 1) apply statistical methods to the calculation of the historical return and risk of two assets and the portfolio using current financial market data; 2) estimate the cost of equity for an asset using the SML approach; 3) perform a simple statistical test for CAPM.  To give you a sense of the project, please see a sample instruction in the attachment. The formal assignment instruction will be posted soon. 

Follow the instruction carefully and answer research questions. Please email the digital copy in a single file (PDF version is preferred) to biwei.chen@cuny.edu The subject of the email must be E4K Project. Please double-check everything and send me the final version. Late submission and resubmission will cost students several points. I expect all students to follow the instruction requirements, which can be found from the course assignment webpage. Evaluation depends on the effort, quality, and neatness of the final report.

Portfolio Theory I:   https://www.youtube.com/watch?v=lPKtI90f_sE

Portfolio Theory II: https://www.youtube.com/watch?v=zVsCgU26U_8

Two-Asset CAPM:   https://www.youtube.com/watch?v=JGH1fo9fuL8

Min-Var Portfolio:   https://www.youtube.com/watch?v=bgVPNY4l950

Special Topic Debate

"Applying Econometrics: Too Much or Too Little? "

Please send an email with the subject "E4K Debate" to confirm your participation and stance (pro/con) ASAP (4/28 Deadline). Feel free to discuss with the instructor on the idea/argument/research you want to present in the debate. 

Students are divided into yes/pro team and the no/con team. Following the debate format, students are required to prepare briefs for each position as a team effort. Each team should prepare several arguments supportive of their position. Each argument should have three statements, each of which in turn is supported by three quotes. For each quote, a one- sentence summary must be provided, along with the source of the quote and a photocopy of the quote in its entirety. Computer-aid visualization will not be used in the debate.

It is highly recommended that each team prepare the debate material (outline, arguments, examples/counterexamples, data, graphs, references, etc..) in PPT slides and submit a copy to the instructor before class for the debate. After the debate, each team shall submit the final version of the debate report in PPT format before the deadline for grading purpose. 

Independent Projects 

Students are also encouraged to conduct independent research project on the topics of their own interests. Strong analytical, quantitative, and writing skills is a must.