Imagine you are doing security analysis on some of the stocks, what happens when you change the expected return? Select a security of your choice and analyze the results.

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Analytical Research Report on a Portfolio Management Problem.

• Using the historical mean as the expected return, use the portfolio optimization procedure in the Excel sheet to determine the portfolio weights of the optimal risky portfolio and the optimal complete portfolio. Select your own estimate of risk aversion for the individual stating what would happen if risk aversion changes  from your own initial estimate.

• Imagine you are doing security analysis on some of the stocks, what happens when you change the expected return? Select a security of your choice and analyze the results.

• Compare the portfolio weights for both the optimal risky portfolio and the optimal complete portfolio using the portfolio optimization procedure in the Excel sheet for the three methods to forecast expected returns, a), historical,b) static CAPM, and c) Fama-French 3 factor. Offer an interpretation of your findings.