You are to select 5 companies for your investment portfolio. In order to get the best portfolio combination of companies for the purpose of diversifying the risk, you have to screen for best companies from 12 sectors in Malaysia. You need to run Markowitz portfolio model for each sector to decide best of the rest securities. Some sectors have hundreds companies which is difficult to decide top 20-25 companies to be included in the Markowitz model. I would suggest, run the initial screening via beta computation,instead of running the mean-variance model on all of them . Select low beta companies.
Use 5-year observation data of companies’ share prices. You can choose to use daily, weekly or monthly data for the computation.
Run Markowitz mean-variance model again on 20-25 companies from various sector, and suggest 5 best companies for your portfolio based on highest weight allocated to them.
Plot the efficient frontier and decide your best strategy on how to allocate your portfolio and explain the reason of the strategy’s choice (the portfolio need not be the minimum point of portfolio variance).
The report should include:
i. Table of contents
Table of figures
Introduction
Literature review (Discuss briefly about the model)
Methodology
Findings
Analysis
Conclusion
Recommendation
