© 2019 Page 1 Durham University Business School Portfolio Management 2018/2019 Masters Programmes SUMMATIVESample Page ASSIGNMENT x There has been a long debate on the effectiveness of optimal portfolio models. Many studies have shown that theoretically more appealing portfolio models often fail to outperform the equal-weight portfolio (e.g., DeMiguel et al., 2007). x The objective of this assignment is to understand why optimal portfolios are not wellperforming particularly when compared against the equal-weight portfolio (or, to put it another way, why the equal-weight portfolio performs well), and learn how academics and practitioners have been addressing this issue. Also, by replicating some of the portfolio models that are claimed to outperform the equal-weight portfolio, students will have an opportunity to practise Matlab and understand potential issues that might arise during implementation. x Students are encouraged to use Matlab for empirical analysis, but other software packages are also allowed. x The report must follow the structure: 1. Introduction (5%) 2. Literature Review (40%) 3. Empirical Analysis (40%) 4. Conclusion (15%) The percentages in the parentheses are suggested proportion of each section. Marking will also be based on the same proportion. x Introduction Give a brief introduction of your report. Make it short. x Literature Review Choose at least three papers that are related to the subject; that is, papers comparing portfolio models including the equal-weight portfolio, and provide a detailed summary of each paper. The summary may include the portfolio models, datasets, evaluation method, and main findings of each paper. Critically evaluate each paper. A focused review on a small number of papers is preferred to a brief review of many papers.Portfolio Management 2018/2019 Masters Programmes 2018/2019 Masters Programmes © 2019 Page 2 Durham University Business School x Empirical Analysis o Choose one paper and replicate it using a different dataset. The dataset will be uploaded in DUO in due course. If the paper contains several models, choose one for replication. o Provide a description of the model with implementation details. o Evaluate the model using the dataset. Evaluation should include comparison with the equal-weight portfolio. Discuss your findings: compare them with the results presented in the original paper and critically evaluate them. x Conclusion Reflect on your findings and provide your view on the effectiveness of optimal portfolio models. Are investors better off with the equal-weight portfolio? Is the equal-weight portfolio realizable? Overall word limit, 2,500 words maximum. The word count should: x Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other item not specifically excluded below. x 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 overlength. 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 Portfolio Management 2018/2019 Masters Programmes 2018/2019 Masters Programmes © 2019 Page 3 Durham University Business School – 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. YOUR COMPLETED ASSIGNMENT MUST BE SUBMITTED TO DUO NO LATER THAN 2PM ON 29 APRIL 2019. MARKING GUIDELINES Performance in the summative assessment for this module is judged against the following criteria: x Relevance to question x Organisation, structure and presentation x Depth of understanding x Analysis and discussion x Use of sources and referencing x Overall conclusions Students are strongly advised to use Arial font size 11 for their assignments. 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 DUO. The assignment which you submit on-line should INCLUDE all appendices. PLAGIARISM and COLLUSION Students suspected of plagiarism, either of published work or work from unpublished sources, including the work of other students, or of collusion will be dealt with according to Business School and University guidelines. The electronic copy of your assignment on DUO which will be put through the plagiarism detection service.