FINS5542代写、代写R编程设计

日期：2022-10-26 07:28

FINS5542 Assignment 2

Date Due: 11pm 28 October, with electronic submission via the course

website.

1. Critically evaluate, in less than 1200 words, the role of technical

analysis in equity markets.

Please include appropriate references, with a reference section. Both

content and writing quality are key criteria of equal importance.

[30 marks]

2. In this question we will conduct a backtesting exercise for the 1998

year. For each trading day in 1998 we must graph the 99% VaR that

was computed 10 trading days before and we must also graph the

realised loss in the portfolio that occurs over this same period.

One is required to produce two graphs. The first graph should be the

backtesting of the VaR method under normality. The second graph

should be the backtesting of the VaR method under historical sim-

ulation of daily changes in prices. Finally, one should interpret the

findings from both of these graphical displays, (noting presentation

quality is important).

For these exercises, assume that we hold a portfolio of 10 assets,

namely, aan3, aan4, aan5, aan6, aan7, aan8, aan16, aan17, aan18

and aan19 where $30,000 dollars was the value of our holdings in each

of the stocks ten trading days before the first trading day in 1998. i.e.

On 17 December 1997, the value of our portfolio is $300,000. Also

assume that the number of shares we hold in each of these stocks does

not change over the time frame of our back-testing exercise. Finally,

in computing the VaR estimates one should use the last 750 changes

in prices. The data is located on the fins5542 Moodle page. See last

page, for variable names.

In addition to printing out the Excel graphs, one should also print out

the Ox computer code.

[20 marks]

1

3. In this question we will conduct a backtesting exercise for a portfolio

of 6 stocks for the 2020 year. For each trading day in 2020 we must

graph the 99% VaR that was computed 10 trading days before and we

must also graph the realised loss in the portfolio that occurs over this

same period.

One is required to produce two graphs. The first graph should be the

backtesting of the VaR method under normality. The second graph

should be the backtesting of the VaR method under historical sim-

ulation of daily changes in prices. Finally, one should interpret the

findings from both of these graphical displays, (noting presentation

quality is important).

For these exercises, assume that $500,000 dollars was the value of our

holdings in each of Apple Inc, Cisco Systems Inc, Chevron Corp, Intel

Corp, Coco-Cola Co and Walt Disney Co ten trading days before the

first trading day in 2020. Also assume that the number of shares we

hold in each of these stocks does not change over the time frame of

our back-testing exercise. Finally, in computing the VaR estimates

one should use the last 800 changes in prices.

In addition to printing out the Excel graphs, one should also print out

the Ox computer code.

[30 marks]

2

Variable Name

aan1 CISCO SYSTEMS INC

aan2 MICROSOFT CORP

aan3 INTEL CORP

aan4 TEXAS INSTRUMENTS INC

aan5 SPRINT CORP

aan6 AMGEN INC

aan7 INTERPUBLIC GROUP COS INC

aan8 MELLON BANK CORP

aan9 WARNER LAMBERT CO

aan10 BRISTOL MYERS SQUIBB CO

aan11 ENRON CORP

aan12 GENERAL ELECTRIC CO

aan13 TIME WARNER INC

aan14 EXXON CORP

aan15 DELL COMPUTER CORP

aan16 AMERICAN EXPRESS CO

aan17 SUN MICROSYSTEMS INC

aan18 CORNING INC

aan19 FORD MOTOR CO DEL