ECO204 Summer 2024 Project 1Matlab

Java Python Department of Economics (STG), ECO204 Summer 2024

Project 1

“Constructing a Monthly Portfolio Consisting of 90-Day US T-Bills and a Synthetic Risky Asset

Comprising of Dell and Nvidia Stocks by Four Different Methods”

This is a “solo” project worth 15% of your course grade with two deliverables and two submission deadlines.

Excel File: 5% of overall course grade (provided it is submitted by the first deadline)

Business Report: 10% of overall course grade (provided it is submitted by the second deadline)

Project 1 posted:	Wednesday, July 17th  2024
First Deadline	Project 1 Excel Model due by 11 PM, Wednesday, July 24, 2024 throughQuercus Project 1 Assignment TabFailure to submit Excel Model by first deadline will result in 0% score for the entire Project 1
Second Deadline	Presumingyou submitted the Excel model by the first deadline. Project 1 Business Report due by 11 PM, Monday, July 29, 2024 throughQuercus Project 1 Assignments Tab. Business Report must be consistent with the Excel model.
See detailed instructions below

The Banker Beckons

You were recently hired as a Junior-Portfolio-Manager by the renowned Asset Management

firm Aurum Potestas Est. The Senior Portfolio Manager, Ms. Elizabeth Freres, has asked you to   construct a one-month portfolio for July 2024 consisting of US 90-Day T-Bills and a Synthetic Risky Asset (SRA) comprising of two equities (company names e-mailed to you).

Ms. Freres wants you to construct the portfolio by four methods:

1. “Stats”

2. Shrinkage

3. Wiener Stochastic Process

ECO204 Summer 2024 Project 1Matlab

4. Ito Stochastic Process

Ms. Freres has asked the Minion-Portfolio-Manager, Mr. Insane Hussain, for a “helper” Excel Model (available here).

Deliverables

1. Excel model of your portfolio (5% of your overall course grade provided you submit it by the first deadline) Due by the “first deadline:” 11 PM, Wednesday, July 24, 2024 through thisQuercus Project 1 Assignment TabFailure to submit the Excel Model by the first deadline will result in 0% score for the entire Project 1.

All worksheets must be properly formatted and labelled; points will be deducted for sloppiness. For example: are the top panes “frozen”? Did you adjust column widths to auto-fit data? Are the numbers formatted to the same number of decimal places?    Are the axes labelled? “Set up” the Excel file for “future managers” to use your model with different input/parameter values.    We highly recommend “soft coding” formula cells.

To incentivize you to learn Excel, in the business report appendix, please compile -- and briefly explain -- a list of all Excel

“formulas” used in each Excel worksheet. You will discuss, analyze, and present the Excel Portfolio in the business paper (see below).

The first worksheet of your Excel file must have your full name and your student ID number (as these appear in ACORN) and the Excel file must be macro-enabled and named “LastName_FirstName_Last-5-Digits-Student-ID.xlsm” .

2. Business Report to Ms. Freres explaining the process, methodology, and results of your portfolio (10% of your

overall course grade provided you submitted the Excel model by the first deadline). Due by the “second deadline:” 11 PM, Monday, July 29, 2024 through thisQuercus Project 1 Assignments Tab.

The business-report should be maximum (not minimum) seven pages of text, plus a title page (which does not count towards the page limit), and an appendix of (practically) unlimited length (remember you must list and explain the Excel commands).

The business report should explain the problem, methodology, and results in clear (i.e. non-technical, and as much as possible, jargon free), direct, and succinct “first person” prose to Ms. Freres (see The Economist Magazine “How to Write Well” [free with    registration] and the “S yt le Guide”). Remember that the business report is not an academic paper and you should, unless

absolutely necessary, avoid “technical jargon/equations/tables” and (typical of UofT students) “fluffy/flowery” prose and staid grammar. Clear thinking is clear writing and clear writing is clear thinking.

In the business report, we encourage you to use tables and graphs and not refer the reader to “see the Excel file” for key

data/tables/results/figures etc. – it is better to discuss these within the business report itself. Use the appendix for “technical” material and supplementary graphs/tables/etc. (i.e. unlike the report, the appendix does not have to be “jargon free”).

The title page of the business report must have your full name and your student ID number (as these appear in ACORN) and the business report must be in OCR pdf format “LastName_FirstName_Last-5-Digits-Student-ID.pdf”