Tài chính doanh nghiệp - Topic 4: Modeling portfolio risk, return, and var

Financial Risk ManagementTopic #4 Modeling Portfolio Risk, Return, and VaRL. GattisLearning ObjectivesCompute portfolio return, risk, VaR using Excel and Matrix OperationsCompute optimal portfoliosComputing VaRs and Confidence Intervals using @RiskData – Copy and Paste Cells into Excel4Compute Portfolio Mean and Volatility using Matrix FormulasMean Return = mmult(WT,Ret)WhereW= Column Vector of WeightsWT= Transpose of Column Vector of Weights = Row Vector or WeightsRet= Column Vector of ReturnsPress Control-Shift-Enter to enter arrays in excelStd Dev. = mmult(mmult(transpose(W),S),W)^.5WhereS= Covariance MatrixPress Control-Shift-Enter to enter arrays in excelHint: Creating named ranges of W, Ret, and S will make it easier to write matrix formulasVaR and @RiskInputs (Expected Return)Define Distribution (Normal)Distribution Parameters (Mean and Std dev)Add Output (Portfolio Value)Simulation Settings10,000 iterations, 1 simulationRun SimulationEvaluate ResultsMean, Standard deviationVaR, Confidence IntervalClick on output sell, browse resultsRight click on graph, Copy Distribution graphProblemsCompute portfolio mean and standard deviation of $1,000,000 portfolio above.Compute the 95%, 1-year VaR, and 95%, 10-day VaR (assume 252 days)Compute the 80% confidence interval portfolio profit and probability of losing $100,000 in one year using @Risk. Copy and display the 80% confidence interval graph. Use 10,000 iterations.Compute optimal portfolio weights for a 10% standard deviation portfolio with no short sales (hint: maximize returns, s.t. vol=10%, ƩW=1, W>=0. Compute the 1-year, 95% VaR of this portfolio