Portfolio Management case studies, worked step by step

Cases
100
Traced to a firm
50
Topics
13
Hard
30
Topic
All topicsStock pitch and thesis defence11Fixed income, credit and LDI11Strategic and tactical allocation7Factor investing and quant6Company analysis and valuation7Performance evaluation and manager selection7Client mandates and IPS8Risk management and limit breaches8Rebalancing, implementation and costs7Real assets and private markets8Portfolio construction and optimisation7Macro and multi-asset scenarios7Asset management business and products6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–3 of 3 · filtered from 100Clear filters
  1. 041Formulate and solve a three-asset mean-variance problem with a budget constraint, no shorting and a 50% position limit, with and without the limit, and explain where the capped weight goes.Portfolio construction and optimisationHardBlackRockNew York · 2025
  2. 066Market weights of 70% large caps and 30% mid caps imply mid caps beat large caps by 1% a year. An analyst's view says 3%, held with the same confidence as the market prior. What blended spread results, and which way do the weights move?Portfolio construction and optimisationHardQuantitative asset managementMulti-asset
  3. 095An optimiser sees two stocks with expected returns of 13% and 13.5%, both at 25% volatility, and a sample correlation of 0.95 from 36 months of data. Show how extreme the weights become, then shrink the correlation to 0.6.Portfolio construction and optimisationHardQuantitative asset managementSystematic investing

Company names and figures are illustrative.