代写FBE 506、代做CS/python程序语言、代写CAPM model留学生、代做C/C++

日期：2018-11-30 10:25

University of Southern California

Marshall School of Business

FBE 506 Quantitative Methods in Finance

M. Safarzadeh

Instructions on the Course Project:

Using monthly data from January 2014M1 to 2017M12 estimate the followings:

1. Select at least five stocks from different industries (for the list of the firms in different industries see, https://biz.yahoo.com/p/sum_conameu.html).

2. Construct a portfolio of the selected stocks and graph the efficient frontier.

a. Find the optimum weights using MPT.

b. Using the optimum weights and daily adjusted closing prices at the end of 2017 allocate $100.00            among the selected stocks. On 1/1/2018, the portfolio will have a value of 100 as an index.    

c. Using the daily adjusted closing prices from 1/2/ 2018 to 10/30/2018 calculate the holding    

values of the portfolio. Assume fixed holdings with no re-balancing taking place over time.

(Note: November 2018 data daily adjusted closing prices will be used for ex-post forecasting.)

3. Calculate the CAL equation and graph CAL and the efficient frontier.

4. Estimate the CAPM model of your portfolio using 1/2/2018-10/30/2018 data.  Compare the estimated  of the your CAPM model with market .  Are they statistically different from each other?

5.  Graph the SML and compare the estimated  of the CAPM and the average return of your portfolio as a point relative to SML. Comment on performance of your portfolio.

6. Calculate CV, Sharpe, Treynor, and Sortino ratios for your portfolio and compare them to a similarly diversified portfolio of Vanguard, Fidelity, or any other similar portfolio.

7. Calculate 2% VaR as a percentage of the mean return of your portfolio when the risk horizon is one day and one month.

8. Do scatter diagram of your portfolio and comment on trends, auto-correlations, outliers, structural breaks and any other special features. Graph the scatter diagram of your portfolio and S&P 500 and compare the trends.

9.  Using the CAPM equation of your portfolio do a five periods ex-post forecasting of the returns to your portfolio and compare your forecast to the actual returns. Find and report MAD, MAP, MASE, and RMS for your forecast.

10. Using the CAPM equation of your portfolio do a five periods ex-ante forecasting of the returns to your portfolio. Find and report MAD, MAP, MASE, and RMS of your forecast. You may use ES to forecast the risk premium of S&P500 for the required five periods.

11. Do a Native, MA3, MA5, WMA5, and ES of the returns to your portfolio for the period 10/30/ 2018 on. Find MAD, MAPE, MASE and RMS of your forecasts. Compare the forecasting efficiency criterion of your CAPM with smoothing techniques. Which one results in a better forecasting outcome?

12. Locate an event that had a significant effect on the valuation of your portfolio or a significant effect on a component of your portfolio.  Do an event study to quantify whether your portfolio’s return or the significant component of your portfolio followed the efficient market hypothesis.