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Instruction on Course Project: NVIDIA (NVDA)

 Instruction on Course Project:

Using monthly data from January 2014M1 to 2018M12 estimate the followings:
1. Select at least five stocks from different industries 
Amazon, AMZN
Facebook, FB
Procter & Gamble (PG)
Tesla (TSLA)
NVIDIA (NVDA)
2. Construct a portfolio of the selected stocks and graph the efficient frontier.
a. Find the optimum weights using MPT.
b. Allocate $100.00 among the selected stocks using adjusted closing prices at 2018M12. 2019M1 
will have a value of 100 as an index. 
c. Using the adjusted closing prices from 2018M12 to 2020M8 calculate the holding 
values of the portfolio (assume fixed holdings with no re-balancing taking 
place over time). 
3. Find the tangency point of the Capital Allocation Line (CAL) and the efficient frontier. 
4. Calculate the CAL equation and graph CAL and the efficient frontier.
5. Estimate CAPM for your portfolio and graph the estimated b of the CAPM and the average return of 
your portfolio as a point relative to SML.
6. Test whether the closing of the economy due to COVID-19 in March 2020 had any effect on Jensen 
alpha and the market risk of your CAPM model.
7. 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. 8. Calculate 2% and 3% VaRs as a percentage of the mean return of your portfolio when the risk horizon 
is one year, six months, and one month. Calculate the same VaRs for the selected portfolio in item 7. 
Compare the VaRs of your portfolio to the ones of the market portfolios.
9. Graph the scatter diagram of your portfolio and comment on trends, outliers, structural breaks and any 
other special features. Graph the scatter diagram of your portfolio and S&P 500 on the same coordinate
system and compare the trends.
10. Using the CAPM equation of your portfolio do two periods ex-post forecasting of the returns to your 
portfolio and compare your forecast to the actual returns. Find the accuracy statistics of your forecast and 
report them. 
11. Do two-periods ex-ante forecasting of returns to your portfolio assuming that the monthly risk 
premiums to S&P 500 will be 1.10% in 2020M9 and 1.25 in 2020M10.
12. Do forecasting of the returns to your portfolio for the period 2014M1-2020M8. Find the accuracy 
statistics of your forecast. Do a naïve forecasting of the returns to your portfolio for the period 2014M1-
2020M8. Find the accuracy statistics of your forecast. Compare the forecasting accuracy criterion for the 
two forecasting methods. Which one results in a better forecasting outcome?
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