HARVARD 2010 TIPS

Groups of 4-5 students will be formed to work out a case to be presented in Power Point format and discussed in class The case must be accompaigned by a report to be handed in at the beginning of the session in which the presentations will take place. The reports must have a maximum of 5 pages in Times New Roman #12 format at a single space. Paragraphs must have a two line separation. Written reports in electronic format are not acceptable. Only excel sheets may be send to the professors email address. Each group must propose an optimal portfolio using the following guide: 1. The risk return relationship must be based on the constrained efficient frontier, and portfolio comparisons with other universities and institutions. Assume no riskless lending or borrowing and no short positions 2. Monte Carlo simulation must be employed to assess volatility (bankruptcy) risk for a 10 year horizon 3. Well justified policy statements must be made in relation to: a. b. c. d. Liquidity risk and opportunities Possibility of external shocks (stress tests) External management Alpha strategies with internally managed funds

e. Impact on portfolio risk of the growing dependency of university funding from the endowment f. Capital commitments