FBE 506 Quantitative Methods in Finance
Assignment #5
1- Using monthly data for the period January 2014 to present compare the following finance ratios for JPM and Face Book:
- CV (coefficient of variation).
- Sharpe ratio
- Sortino ratio
- Traynor ratio
What do those ratios imply on investment on the two securities.
2- JP Morgan or Face book: Download monthly data for JPM and Face book (FB) from January 2, 2018 to today, using adjusted closing prices. Which one is a better investment?
- A portfolio’s return is normally distributed with mean dai 写FBE 506 Quantitative Methods in Finance5% and standard deviation of 2.2%, both expressed in annual terms. Calculate 5% VaR as a percentage of the mean return when the risk horizon is one year, six months, one month, and one day.
4- Using the monthly data for AAPL, FB, and JPM for the period January 2018 to present calculate the parameters of the Markowitz portfolio model.
- Variance Covariance Matrix and Asset Allocation Model (Markowitz Portfolio Model): Suppose the variance covariance matrix for two stocks is given as:
| Stock 1 | Stock 2 | |
| Stock 1 | 0.025 | 0.015 |
| Stock 2 | 0.030 |
The expected rate of returns on Stocks 1 and 2 are 10% and 12%, respectively. The average return to risk-free treasury is 5%. Given that the objective of the investor is a minimum-risk portfolio, find the optimum weights of each stock in the portfolio.
WX：codinghelp
