Assessment Dissertation for Financial Portfolio Analysis Choose 5 assets between 01/Sep/2013 to 31/Aug/2015 by giving appropriate reasons. Download price information from Yahoo, use “adjusted close” prices for the basis of computation. 1) Calculate the equivalent mean, variance and standard deviation of these shares returns annually. 2) Calculate the annual covariance matrix V of the returns. 3) Analyse the covariance and share price behaviour over some chosen sub time intervals to verify the theory of positive covariance and negative covariance imply that the underlying quantities move in the same and different directions. – Two possibilities: 1) covariance of share prices, 2) covariance of returns. Choose some appropriate starting time points, using previous data to 4) Calculate the efficient frontier and plot it explicitly 5) Use utility functions F(μ, σ) = μ – α σ2 and F(μ, σ) = μ / σ2 to find the “optimal” investment portfolio at the beginning of these time period (use first year’s data to construct portfolio and use second year’s data for future return validation) 6) Study the methodology of constructing indices or ETF funds, construct an ETF fund using the 5 assets you have chosen in the given time period. 7) Compare the investment performance of each single asset, the constructed ETF fund and your optimal portfolios in the second year at 20-working-day intervals. 8) Investigate the relationship between SPY and VIX. 9) Write a MATLAB program for calculating the value of put options (in reference to the CallBS.m for call options in the Teaching Drive. Compare call and put option values regarding to different values in Price, Strike, Rate, Time, Volatility and Dividend. 10) Download and study some options of SPY by looking at the relationships between implied volatility, interest rate (maybe looking at two cases: 0.02 and 0.03), time to maturity and strike prices. Can you relate implied volatility to VIX? (Warning: sometimes, the data have abnormalities – I cannot foresee what, depends on what you download, you need to think about how to deal with these independently if possible). Remark: 1) Number of words: No more than 3000 words (excluding references, computer programs). It is the over all case presentation, not the number of words that will earn you the deserved marks. 2) Paper submission to school office is required. 3) Deadline: see Study Direct.