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Queenie's Quandary: A Quest for a Perfect Portfolio
內容大綱
Queenie Stone started her career as an asset manager for a large investment bank in New York City. Her manager tasked her with creating a new three-stock portfolio and investigating how changes in her inputs of expected returns, standard deviations, and correlations would impact her portfolio asset weights. The stocks included the Procter and & Gamble Company (PG), JP Morgan & Chase & Co. (JPM), and Advanced Micro Devices, Inc. (AMD). Queenie created an equally weighted portfolio as a base case to compare with Markowitz’s optimal portfolio construction methodology, based on modern portfolio theory. Using Queenie’s equally weighted model with the necessary formulas, students use Excel’s Solver tool to find the optimal portfolio allocations among these stocks.
學習目標
The case helps advanced undergraduate and MBA students in investments or portfolio management courses to understand and implement the Markowitz optimal asset allocation model. Ideally, the case should be taught after students are familiar with modern portfolio theory. While familiarity with optimization tools such as Solver in MS Excel will be beneficial, it is not required.<br><br>After working through the exercise and assignment questions, students will be able to do the following: <ul><li>Run a simple version of the Markowitz optimal asset allocation model using the Solver tool in MS Excel.</li><li>Explain how changes in specific model inputs (e.g., expected return, standard deviation, correlations, risk-free rates) affect the model output—that is, the optimal capital allocation across different individual assets.</li><li>Describe the impact of specific portfolio constraints (e.g., no short selling, target asset weights) on optimal portfolio choice.</li></ul>