The Professor Selects a Portfolio of Chinese Stocks

Name: The Professor Selects a Portfolio of Chinese Stocks (English version)
SKU: 9B01E010

Peter C. Bell, You Qin

Product #:9B01E010

Supplier:Ivey

Discipline:International Business, Management Science

Setting:2000

Details:Case (PDF) • 3 pages • 2001-04-24 (Rev: 2009-12-18)

Subjects:

Risk analysis Risk management Business management Analytics and data science International business Data science

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A professor decides to build an equity portfolio made up of shares from five Chinese companies, and needs to decide what fraction of the portfolio should be devoted to each of the five issues. In this exercise, the difficulty in using optimization for portfolio selection and coping with the covariance between the potential assets is examined. Simulation can be used to avoid the need for statistical estimation in measuring portfolio risk. Excel files are available, products 7B01E010A and 7B01E010B.