Solutions to Case the Harvard Management Company

The Harvard Management Company (2001) Case You will design an excel spreadsheet that allows you to answer the following questions: i) Given figures in Exhibits 4 and 11 what is the expected return and volatility of the policy portfolio? ii) Find an efficient portfolio having the same expected return as the policy portfolio but lower volatility. iii) Find an efficient portfolio having the same volatility as the policy portfolio but higher expected return. iv) Repeat question ii using the constraints in Exhibit 13. ) Repeat question iii using the constraints in Exhibit 13. vi) Consider the following seven asset classes: Domestic Equity, Foreign Equity, Emerging Markets, Private Equity, Commodities, Inflation-Indexed Bonds, and Cash. Using HMC’s input assumptions (see Exhibit 11, and also using the constraints shown on Page 22, Exhibit 12), what would be the allocation across these seven security classes if HMC was looking for optimal portfolios that would have expected real returns of 4, 5, 6, 7, and 8%.
For each of these cases, also show the resulting standard deviation of the portfolio, and the Sharpe (efficiency) ratio (see footnote a in Exhibit 12). vii) Redo part (vi) but now constrain the minimum and maximum weights on the seven different asset classes using the constraints shown in Exhibit 13. It may not be possible to achieve some of the expected real returns you were getting earlier. If that is the case, use five expected real return levels that you can attain. iii) Compare the investment opportunities implied by part (vi) to those in part (vii). ix) Explain the pros of the mean variance paradigm. x) Explain the cons. I will describe how to perform portfolio optimization in class. Excel is equipped with an optimizer (Solver) that requires you to specify what you are trying to maximize or minimize, the variables (weights) that may be adjusted in order to maximize portfolio efficiency, and the constraints imposed on those variables.
The Harvard Management Company (2010) Case & Harvard Management Company Endowment Report (Sep 2009) xi) Policy portfolio reflects Harvard Management Company’s asset allocation strategy. Compare Exhibit 4 of the 2001 case with that of the 2010 case: describe how the policy portfolio has changed before and after the 2008 financial crisis. xii) What do you think are the reasons for the Harvard Management Company to make the above adjustments in asset allocation choices?

Place your order
(550 words)

Approximate price: $22

Calculate the price of your order

550 words
We'll send you the first draft for approval by September 11, 2018 at 10:52 AM
Total price:
$26
The price is based on these factors:
Academic level
Number of pages
Urgency
Basic features
  • Free title page and bibliography
  • Unlimited revisions
  • Plagiarism-free guarantee
  • Money-back guarantee
  • 24/7 support
On-demand options
  • Writer’s samples
  • Part-by-part delivery
  • Overnight delivery
  • Copies of used sources
  • Expert Proofreading
Paper format
  • 275 words per page
  • 12 pt Arial/Times New Roman
  • Double line spacing
  • Any citation style (APA, MLA, Chicago/Turabian, Harvard)

Our guarantees

Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.

Money-back guarantee

You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.

Read more

Zero-plagiarism guarantee

Each paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.

Read more

Free-revision policy

Thanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.

Read more

Privacy policy

Your email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.

Read more

Fair-cooperation guarantee

By sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.

Read more