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2 x MSc Finance and Investment Projects (2014)

Ref: fin0046


Project One - Financial Modelling and Business Forecasting

Using Consumer Price Index (CPI) and bilateral exchange rate data for three countries (France, Belgium and Germany) spanning the immediate post-Bretton Woods period,  this report tests for the presence of unit roots within the time series, and uses the Johansen cointegration procedure to determine whether the Purchasing Power Parity (PPP) hypothesis is emprically supported. ARCH effects are also tested for and GARCH models are considered for the purpose of forecasting. The dataset includes monthly CPI and exchange rate data for France, Belgium and Germany, and the time-period for the dataset was 1973/01 – 1990/12. Sections 1 - 4 were answered using data from the period 1973/04 – 1990/02. Section 5 was answered using the last 10 observations of the dataset (1990/03-1990/12). The CPI data was retreived from the OECD website. The exchange rate data was retrieved from a foreign exchange website.

  • 3,500 words - 24 pages in length
  • Excellent use of literature
  • Excellent use of finance models
  • Well written throughout
  • Ideal for finance students
  • This is a project not dissertations


Data
Notation
Descriptive Statistics of Series
Unit-Root Testing
Purchasing Power Parity
Autoregressive & GARCH Models
Identification
Estimation
Diagnostic Checking
Asymmetric GARCH
Bibliography
Appendix


Projects Two - Portfolio Management

An investment portfolio consisting of eight possible equity indices and a risk-free asset is constructed using mean-variance portfolio optimisation. This report features a risk-averse investor employing a passive investment strategy. An optimal portfolio was calculated and its performance was evaluated over a period of 12 months. The data used in this report consists of the FTSE All Share index, eight FTSE sector indices, and the 1-year UK interbank middle-rate. The data spans the time period 31/12/2002 – 31/12/2013. The data from 31/12/2002 – 31/12/2012 is used for portfolio construction, and the data from 31/12/2012 – 31/12/2013 is used to evaluate portfolio performance. The majority of the values presented for calculated returns and risks correspond to a monthly time horizon. This is because the data used in this report is of monthly frequency.
  • 4,500 words - 22 pages in length
  • Good use of literature
  • Excellent use of finance models
  • Well written throughout
  • Ideal for finance students
  • This is a project not dissertation


Data
Notation
Introduction
Investment Objective
Constraints
Risk Appetite
Investment Strategy
Additional analysis
Portfolio Theory Limitations
Portfolio Optimisation in Practice
Bibliography
Appendix – Analysis of Data
Descriptive Statistics
Calculating Returns
Portfolio Construction
Indifference Curve and Graphs
Calculating Realised Returns in 2013
Calculating the return for the Optimal Complete Portfolio
Performance Analysis
Expected Returns and Required Returns
Var Calculations


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