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日期：2020-04-26 10:34

Using monthly data from January 2016M1 to 2018M12 estimate the followings:

1. Select at least five stocks from different industries (for the list of the firms in different industries see).

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 monthly adjusted closing prices at the end of 2018 allocate $100.00 among the selected stocks. On 1/1/2019, the portfolio will have a value of 100 as an index.    

c. Using the daily adjusted closing prices from 1/2/ 2019 to present calculate the holding    

values of the portfolio. Assume fixed holdings with no re-balancing taking place over time. Calculate the CAL equation and graph the CAL and the efficient frontier.

3. Do Naïve, MA(5), MA(15), ES, Holt, and Holt-Winters forecasting of your portfolio returns and do a three-period-ahead forecasting of the portfolio returns for each forecast. Estimate the accuracy statistics.

4. Start with the regression analysis and forecasting of your portfolio returns. Use the CAPM and three-factor CAPM (Fama-French) models to estimate the coefficients of the models and use them for forecasting. Do a 10-days ex-post forecasting of the portfolio risk premiums and compare the forecasted value to actual ones. Do a three-period-ahead (ex-ante) forecasting of the portfolio risk premiums and write confidence intervals.

5. Do an ARIMA model of your portfolio returns and use it for three-period ahead forecasting of the returns to portfolio. Write confidence interval. Estimate the accuracy statistics.

6. Test your ARIMA model for the stability of the ARIMA coefficients.

7. Test your ARIMA model for the existence of ARCH and GARCH and do proper corrections, if needed.

8. Find different time-series measures of volatility for your portfolio returns (see the volatility file posted on Blackboard) and do a three-period ahead forecasting of the portfolio volatility. Compare the different measures of volatility with GARCH.

9. Use the accuracy statistics of the different forecasting techniques to decide which technique fits the data best.

10. Test whether your portfolio index conforms to the efficient market hypothesis.

11. Find 1% and 3% daily and monthly VaR of your portfolio.

12. Find 1% and 3% daily and monthly equity EVaR of your portfolio.

13. Graph the security Market Line (SML) of your portfolio and test whether you would add a stock of your own choice to the portfolio or not.

14. Do an event study of the January 15th signing of trade agreement with China.  Did the event have any effect on return to your portfolio.

15. Do an intervention function analysis of the January 15th signing of trade agreement with China.  Did the event have any effect on return to your portfolio.

16.  Do a 2-variable VAR between your portfolio index and S&P500 index.  Graph the Impulse response function of the VAR and comment on the relationship.