Stander Symposium abstract book - University of Dayton

9:00 AM to 5:00 PM
or a combination of the above dividend factors can contribute to a portfolio’s alpha, I will develop a “baseline” portfolio that has these general
parameters: [1] the stocks in the portfolio will have Price to Earnings Ratios below the market, [2] their expected growth rate in earnings is greater
than the market, and [3] the return on common equity will be higher than the market. The stocks in the baseline portfolio will then be weighted
respectively by their dividend yield, dividend growth rate, and dividend payout ratio for the periods 2005-2010, allowing for yearly rebalancing.
The portfolio returns will be compared to the S&P 500 market returns over the same time periods to determine if alpha was created. I will also
calculate information ratios for the various dividend portfolios to determine risk-adjusted excess returns.
Modeling the Optimal Asset Allocation Based on the Markowitz Modern Portfolio Theory
Presenter(s): Jonathan W Castleton, Christopher K MacIno
Advisor(s): Ting J Zhang
Economics and Finance
3:40 PM-4:40 PM
Course Project, 12_SP_FIN_460_01 Miriam Hall - 213
We will utilize Excel to model the optimal portfolio asset allocation based on the Modern Portfolio Theory developed by Nobel Laureate Henry
Markowitz. The research question is: Given a certain level of an investor’s risk aversion, what is the optimal asset allocation that will generate
the highest utility? Following Markowitz’s mean-variance (M-V) framework, we will analyze the tradeoff between risk and return for a portfolio
containing two financial assets; namely, stocks and Treasury bonds. We will first estimate the mean, variance, and the correlation for the returns
on the two assets based on historical monthly data from 1926 to 1994. Next, we will construct the efficient frontier, which represents a set of
portfolios with various asset mixes between stocks and Treasury bonds that maximizes the expected portfolio returns at each level of portfolio risk
(or conversely minimizes the portfolio risk at each level of the expected portfolio return). Toward this end, we will utilize the Excel Solver function
to minimize the standard deviation (or variance) of the portfolio, by choosing the optimal asset weights for stocks and Treasury bonds, subject to
an investor’s budget constraints. The minimum variance portfolio (MVP) will also be identified. Finally, we will consider an investors’ risk preference
(measured by the risk aversion coefficient or ³) to determine the optimal portfolio asset allocation that will maximize the investor’s utility.
This project represents a direct application of the well-known Markowitz Modern Portfolio Theory, which has been widely used by the investment
industry. A number of studies have shown that the asset allocation theory, on average, can explain over 90 percent of the variability of the total
return of a portfolio. This project arguably has important practical applications as it can assist both individual and institutional investors in achieving
their investment goals by determining the optimal asset allocation.
MANAGEMENT AND MARKETING
The P&G Marketing Challenge
Presenter(s): Megan E Christy, Elizabeth C Leavy, Carolyne R Nebel, Martha V Sitkiewicz
Advisor(s): Irene J Dickey
Management and Marketing
2:20 PM-3:20 PM
Independent Research Miriam Hall - 214
Each semester one of Procter & Gambles 300 brands and their brand managers sponsor this unique and intense competition between four teams
of our best marketing students. Students compete to get a spot in the competition then compete against other teams to help this brand achieve
its business goals. Students are given an actual marketing problem or opportunity and participate in a P&G “onboarding” where they are exposed
to confidential corporate data and information. They then work all semester, engaging in extensive research in order to develop recommendations
that are viable, actionable, unique and will accomplish the business goals defined by P&G. P&G implements many student recommendations. See
some of the amazing work that UD SBA students do!
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