MAN00134M: Quantitative Methods for Finance

MAN00134M: Quantitative Methods for Finance

Module Leader: Lewis Ramsden
Assessment Type: Open
Word Count: 1,500 words (±5%)
Weighting: 50%
Deadline: 11am, Monday 11th August 2025

Key Information

Submission Guidelines

• Formatting:
  • Font: Arial, size 12
  • Line spacing: Double
  • Margins: Minimum 2cm
• Word Count Includes:
  • Main text, in-text citations, quotations
• Excluded from Word Count:
  • Appendices, title page, tables/figures, reference lists

Late Submission Policy

Exceptional Circumstances

• Claims must be submitted before the deadline with evidence.
• Post-submission claims accepted within 7 days of the deadline.

Academic Integrity

• AI use must comply with University guidelines.
• Misconduct will be penalized.

Assessment Structure

Part 1: Analysis of Returns (50 marks)

Task: Analyze daily log-returns for:

1. GLOBAL UK
2. YORKTECH LTD
3. GREENFOODS INC
4. Equally Weighted Portfolio

Questions:

1. Calculate daily Sharpe ratios (risk-free rate: 4% p.a.). [6 marks]
2. Compare assets and recommend the best investment. [8 marks]
3. Estimate mean (µ) and variance (σ²) for GLOBAL UK returns. [4 marks]
4. Estimate P(0% ≤ return ≤ 0.02%) for GLOBAL UK. [6 marks]
5. Assess normality assumption for GLOBAL UK returns. [3 marks]
6. Hypothesis test: YORKTECH LTD mean return = 0.00025 (α=5%). [6 marks]
7. Calculate test power if true mean = 0.00027. [7 marks]

Part 2: Regression Modelling (50 marks)

Task: Evaluate linear relationship:

• Sales (dependent) vs. Advertising Spend (independent).

Questions:

1. Compute correlation coefficient. [5 marks]
2. Explain OLS estimation method. [5 marks]
3. Interpret β₁ (intercept) and β₂ (slope). [6 marks]
4. Assess model fit quality. [5 marks]
5. Distinguish between estimator vs. estimate. [4 marks]
6. State distribution of OLS estimator for β₂. [4 marks]
7. Derive 99% CI for β₂. [6 marks]
8. Test significance of advertising spend. [6 marks]
9. Explain purpose of error terms (ε). [5 marks]
10. Predict sales for £110k advertising spend. [4 marks]
11. Propose logarithmic model with “Advertising Type” (Social Media/TV/Radio). [10 marks]

Additional Requirements

• Report Style: Formal, client-facing with clear recommendations.
• Mathematical Content: Formulae excluded from word count.
• Appendices: For supplementary data (not marked beyond word limit).

Total Marks: 100