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1、FinancialDerivativesInvestmentCompetitionFinalReportLuYang,ShenYuanYuan,WangMengGroupMonday12.305Thisreportiscomposedofthreepartsseparatelyexplaininginitialchoiceforstocks,commoditiesandbonds.Thenittellsthehedgingprocessusingoptionsandfutures.Allofall,befo
2、rewedothecompetition,ourgroupmembershadatalktodeterminewhichtypeofinvestorswewere.It’srisk-averseandwewanttoavoidrisks.Becauseit’sthedirectiontodecideourinvestments’componentsandhedgingstrategy.Thenweshouldbeprudentialinchoosingourcomponentsofstocks,commod
3、itiesandbond.Itisbasedonmacro-economy,whichareourknowledgeofcompanies,worldsubjectsandpolicies.Apartfrommacro-economy,wealsoneedtechnicalanalysis.Bothoftheseconsistourviewstothepasteventsandcurrenttrendstodeterminewhichindividualfinancialproductweshouldpur
4、chase.Second,takinginchargeoftheprocessinwhichwehedgeandknowingdetailsofdifferentderivatives’contractsarethemostthingwelearnfromthiscompetition.Hedgingactsasinsurancetolowerourinitialportfolios’marketrisk.Butthereisstilltoomuchriskinit,suchasbasisiriskwesh
5、ouldnoticeseriously.Thirdly,wemustconsideradjustmentsofourfinancialproductsofwhichwillbesoldoutintimeincaseofanychangesinpricewhichistheoppositeofourdeterminationduringthe3months.BasicrationalofourinvestmentportfolioisMarkowitzportfoliowhichislesscorrelati
6、onmeaningriskspreadinglesstoeachother.Wediversifyourriskwithinportfoliovia10stocksoftotallyirrelevantdifferentareas.Asgraphs1showing,theminimumvarianceportfolioisthegoalwepursuit.Graphs1WeattempttocalculateandrefertotheSharpeRatioformeasuringportfoliohisto
7、ricalperformance,Treynorratiotocomparewell-diversifiedportfoliosandInformationratiocheckingtherisksbeingtaken.Buttoomuchbarrierscametouswhenweneeddatalikemarketreturnandvolatilityofourportfoliossowegaveup.Wethinkenvironment-protective,financialareaormedica
8、larefocusesindifferentareasbasedonourinformationandtuitionofeconomythesis.Besidesthis,basicallywepickoutthefollowing10stocksfromdifferentareaswithsometechnologicalanalysisfromthegraphsontheLSEexchange.Table1S
