Investment strategy group task

This project is designed to help you develop an investment strategy, back-test it and then assess its effectiveness. In order to develop the investment strategy each group as a whole is viewed as a mean-variance risk adverse investor with a utility function below:

𝑼 = 𝑬(𝒓) − 𝟎.𝟓 × 𝑨 × 𝝈𝟐

Your task:
(500 words) Report the mathematical linear equation for the mean-variance efficient frontier that represents all mean-variance efficient portfolios consisting of the 10 selected stocks and the risk-free asset. Sketch the straight line in the expected return-standard deviation space in the report. Show your working in the Excel file and explain clearly the steps involved in your Word report.

Sample Solution