Essay about Assignment 1

Submitted By sbak123
Words: 354
Pages: 2
Open Document
Problem Set 1:
Risk Parity Investing
Professor Hanno Lustig
MGMT232 a
Fall 2014 hlustig@anderson.ucla.edu Due on November 4 in the dropbox before class. You can work in groups of up to 5 students. Please submit the spreadsheet with your computations as well as a separate write-up. (Two files.)
In data_ps_1.xls, the worksheet labeled raw returns lists the index returns for different Barclays bond indices and for the VW-CRSP stock market index; the spreadsheet labeled market_caps lists the total market capitalization of these different categories. We divide these assets into three categories: bonds, credit and stocks. The bond category consists of the Barclays U.S.
Treasury (LHUSTRY) and the Barclays U.S. Aggregates Government Related indices (LHUSAGR). The credit category contains all of the other Barclays bond indices. The stock index is the CRSP-VW index for all stocks traded on the NYSE, Amex and Nasdaq.

1) We start by running a horse race between different investment strategies: a) Market: Compute the value-weighted return for the market (i.e. for all three categories together). Please report the annualized Sharpe ratio.
b) Unlevered Risk Parity Strategy (URP): Compute the volatility of excess returns for each category using a three-year rolling window. Set the portfolio weight at t for each category equal to the inverse of the volatility at t-1. Rescale the portfolio weights so they sum to one.
Please report the annualized Sharpe ratio.
c) Levered Risk Parity Strategy
Show More

Related Documents: Essay about Assignment 1

Assignment 3 Assignment 1

Seeronie Singh AC502-Business Law Unit 3 Assignment #1 Final Project Part 1-Research Paper 1 Professor Lerner January 7, 2014 TABLE OF CONTENTS I. INTRODUCTION ………………………………………………………....…..……………....1 II. SECURITIES ACT OF 1933 AND 1934………………………….…....……….…………....1 II.1 SECURITIES AND EXCHANGE COMMISSION V. SUBAYE, INC ...……….....3 III. THE FOREIGN CORRUPT PRACTICES ACT OF 1977.………...…………...…………....4 III.1 THE BANANAGATE SCANDAL...………….……………………..…..………….5…

Words 2373 - Pages 10

P1 Assignment 1 Assignment

PHYS P15 - First Assignment due October 25th 2013 This assignment is meant to be engaging and thought-provoking rather than technically challenging. I don’t want any submissions to exceed 2-3 printed pages. I am completely relaxed about word count, format, and so on, and don’t care about how you format any references or sources you might provide – just make sure that they are coherent enough for me to track down if I want to. Although we are into the age of computers, I will require…

Words 1263 - Pages 6

Assignment 1 Essay

Analytics Assignment 1 Please submit the following to Cathy at labric@yorku.ca, no later than 11:30 on the day the assignment is due:    A pdf copy of your write up (and appendices as necessary). A copy of the SAS script you used to complete your analyses. A pdf copy of the output from your SAS procedures. You may direct your SAS output to a pdf as follows: ods pdf file=’full system name of the output pdf file’; run; your sas code; ods pdf close; run; General Instructions: Your assignment is to…

Words 1304 - Pages 6

Assignment 1 Essay

Kanwardeep Vig Course code: PSI252 Course name: Conflict Resolution Document: Assignment 1 Grading: 15% Assigned: January 26, 2015 Due date: February 09, 2015 Preventing Drive-by shooting The case that I choose Is that the new “Bill Would Boost Police Powers in Preventing Drive- by Shootings: MPP Mike Colle” This was brought up recently that there have been many deaths on the streets of Toronto by hands on Shooters. When drivers are caught with this bill there would be licence suspension and fines…

Words 416 - Pages 2

Assignment 1 Essay

Written Assignment 1 My profession is in the United States Navy as a Boatswain's Mate. Boatswain's Mates is an old an honorable rate in the navy dating back to days of sailing. When I first came in the navy as a Deck Seamen there wasn't any work to be done with any thing having to do with technology to much. It was more of here's a paint brush, and now get to work. Since then I have moved up a few pay grades and deal with a bit more than just painting, sweeping, and cleaning.…

Words 577 - Pages 3

Nt1310 Unit 1 Assignment 1

1. Describe what you did. This does not mean that you copy and paste from what you have posted or the assignments you have prepared. You need to describe what you did and how you did it. I have researched over the internet to create the flowchart. As I mentioned earlier that I always get help from instructor’s example. What I am facing now is time management. Not getting enough time to research more on the particular topic. I have to put some extra time at my job as one of the projects is going to…

Words 538 - Pages 3

Assignment 1 Essay

Assignment 1 MDSE 5240 Global Fashion Retailing Name: Linh Le Date: 02/01/2015 Assignment 1 Importance of fashion in the global market Clothing demands are beyond of people’s regularly basic need that is to keep human body warm. Many people today like wearing something that makes them feel comfortable, nice, happy, and even some have confident feeling when wearing clothes with a designer label on it. From social and cultural perspective, fashion is to show your personality…

Words 1197 - Pages 5

assignment 1 Essay

CO250 I NTRODUCTION TO O PTIMIZATION – HW 1 Due Date: Friday, January 13th, by 2PM, in the drop box outside the Tutorial Center. L ATE ASSIGNMENTS WILL NOT BE GRADED . Important information: While it is acceptable to discuss the course material and the assignments, you are expected to do the assignments on your own. Copying or paraphrasing a solution from some fellow student or old solutions from previous offerings of related courses qualifies as cheating. For more details review the official…

Words 1358 - Pages 6

Assignment 1 Essay

Course Schedule Course Modules Review and Practice Exam Preparation Resources Assignment 1 (Session 3 — Spring) Print This assignment requires you to apply the knowledge you have gained in FA3 through to the end of Module 5 and in your previous financial accounting courses. It is estimated that this assignment should take approximately six hours to complete. It is graded out of 50 marks — 20 marks for Question 1, 8 marks for Question 2, and 22 marks for Question 3. It is worth 5% of your final grade…

Words 2340 - Pages 10

Sh46501 Task 1 Assignment 1

Text based Report page 1 Student name Kelly Williams –Hall Student number SH46502/ukoc Date 18/04/2015 Learning outcome Task 1 Assessment Criteria Assignment 4 My roles and responsibilities are: To safeguard children at all times Behaviour management where needed To supervise children inside and out To plan and prepare resources for activities to support all areas of development To support the class teachers where needed To support children in all areas of their development To be flexible in my…

Words 5823 - Pages 24