Case Topics/Project for RP5
RP5 is due by Sunday 4/27/24 11pm EST
o Work through the project and write your report in white paper form. (2-3 pages) [5pt]
o Compile a PowerPoint presentation to teach us this topic (5-10 slides with audio) [5pt]
Note: You can earn your grade independently or in a group for RP5 project.
Mastery Path: Derivatives Project [10 pt]
Complete the of the following Project
· Hedge a Portfolio with Derivatives
o Create a long only US portfolio for your client using Portfolio Visualizer as of 3/1/2025 data
o Calculate the risk return for your portfolio and ensure you have achieved a portfolio that satisfies your client’s needs.
o Your client desires a portfolio that has a max return with risk of 10% or less
o 60% weight in US small cap stocks and 20% weight in US large cap stocks and 20% weight in alternative assets
o Create a hedge strategy for the portfolio that ensure your clients portfolio is protected from all of the following risks for the next 6 months
o A 15% correction in small cap stocks
o A 20% correction in SP500 for the next 6 months
o A 30% correction in alternative assets
o You can use futures or swaps or options to hedge your portfolio
o You can use equity index as your underlying for market risk exposures
o Write up your white paper (2-3 pages)
o Create and record your PowerPoint presentation for your client (5-10 slides)
OR
· Topic of your choice
o If you have a well-developed project topic of your choice, please submit this request via canvas message with an outline on how you will present a topic from our course.
o Your topic must be directly related to a course topic(s) and you must be able to present this project fully in your white paper and presentation
o After approval:
§ Write up your white paper (2-3 pages)
§ Create and record your PowerPoint presentation for your client (5-10 slides)
· Extra credit options +0.5 each (max 2 topics or +1 pt for RP5)
· PowerPoint presentation teaching/explain the topic of
o Risk neutral probabilities and the N(d1) and N(d2) in Black Scholes model
o Role of CDS as a hedge and a speculation/arbitrage strategy
o Compare hedging a long only stock portfolio with Equity Index Futures vs Equity Index Options