Analytical Research Report on a Portfolio Management Problem
Imagine you are doing security analysis on some of the stocks, what happens when you change the expected return? Select a security (or securities) of your choice and analyse the results.
Compare the portfolio weights for both the optimal risky portfolio and the optimal complete portfolio using the portfolio optimisation procedure in the Excel sheet for the three methods to forecast expected returns, a), historical, b) static CAPM, and c) Fama-French 3 factor. Offer an interpretation of your findings.
