Assignment of creating optimal portfolio

Groups of 2 to 3 students are required to do this assignment.

-Step 1: Choosing 5 stocks in VNINDEX, briefly introducing the stocks, stating out the
reason for choosing this portfolio of stocks
-Step 2: Doing the regression of risk premium of stock returns to calculate beta
coefficient of stocks (regression of daily returns in 3 years until the latest date) based on
CAPM model. Calculate the standard deviation of VNINDEX (σM)
- Step 3: Making a covariance matrix of stocks, using the formula Cov(rA,rB) =
beta(A)*beta(B)*σM2
- Step 4: Following the steps as in Appendix A chapter 7 (APPENDIX A: A Spreadsheet
Model for Efficient Diversification) to find the optimal portfolio from stocks.
- Step 5: Graphing the efficient frontier and the CAL.
- Step 6: Selectively export the results in excel as a report in word which has the
following content:
1. Introducing the selected stocks, stating the reason for choosing
2. Risk and return of stocks and market (VNINDEX) in the past 3 years: beta, rate of
return, standard deviation, the covariance matrix
4. Report the optimal portfolio
The excel file includes sheets containing: Data price, daily yield of stocks and VNINDEX
spreadsheet; Regression results for stocks; VNINDEX’s yield and standard deviation
spreadsheet; Spreadsheet of Covariance Between Stocks; Calculation table to find the
optimal portfolio; The graph of Efficient frontier and CAL.
Submission Notes:
Submission by class group: The submission includes excel and word files. The complete
information of group members need to be written on both word and excel files.
Only one copy per group
Due date: 04/06/2023