PORTFOLIO THEORY – ASSIGNMENT 2
Dr. Andrea Rigamonti
Consider the ten stocks from the dataset you were assigned.
1) Compute the expected return of the single stocks according to the Fama-French three-factor
model using the entire dataset for the estimation
2) Compute the naïve 1/N, minimum variance, and long-only minimum variance portfolio
weights using a 120-month rolling window.
3) Compute the mean, standard deviation, downside deviation (benchmark = 0), skewness,
kurtosis, Sharpe ratio, Sortino ratio, CvaR (significance at 0.05), Jensen’s alpha (with p-value)
and average turnover of those three portfolios.
4) Compute the same measures net of transaction costs, assuming 10 bp proportional
transaction costs.
5) Create two plots: one with the nominal wealth dynamics of the three strategies ignoring and
net of transaction costs, and one with the real wealth dynamics of the three strategies
ignoring and net of transaction costs.
The necessary data are provided in the file “assignment_2_dataset.RData”, which can be
downloaded from the online folder that contains the course material.
The student has to write a report (you can use Microsoft Word and then export it in PDF) to illustrate
the results obtained with the R code. The report must contain the most important numeric results
and the plots, with some short comment to give them context.
Both the R code and the report have to be uploaded in the Homework Vault by midnight of May 13.
You can use any aid to write the R code, including working together with other students, but you
must write the report on your own.
See next page for the set of ten stocks assigned to each student.
STUDENT ID STUDENT NAME STOCK 1 STOCK 2 STOCK 3 STOCK 4 STOCK 5 STOCK 6 STOCK 7 STOCK 8 STOCK 9 STOCK 10
533309 Abidi, Hamdi ADSK AXP BIIB CHRW FAST HSIC JPM MAR PCAR PFE
544134 Ahmad, Muhammad ADI BMRN DD EXPD GE MMM NVDA REGN SWKS VEON
533377 Çoban, Ali Berk AMAT BKNG CVX GE INCY INTC LRCX NKE SIRI WBA
546128 Dadzie, Emmanuel AAPL CAT CMCSA FAST INTU LRCX MU ROST SRCL WBA
556298 Dalil, Chaima AMZN BMRN CAT KLAC LRCX MSFT ORLY ROST SRCL VEON
556752 El feddali, Aymane AAPL BA COST GILD HD INTU MAT ORLY PAYX TXN
543393 Elizer, Archecard Josue ADBE BKNG CHKP DLTR GE KO ORLY PAYX PG VEON
556314 Guin, Supriya AXP CAT CHKP DD EXPD FISV INCY INTC VEON WDC
520714 Hossain, Md Shepon AAPL CAT CMCSA DD EA GILD INTC MAR TRV WDC
546172 Choudhary, Vishal BIIB CHKP GS HSIC INCY KO SBAC SIRI SWKS VRTX
533365 Khan, Sumaila ADSK AKAM AMGN BIIB INTC INTU MAT MCD MU UNH
545749 Khouaja, Waeil ADSK AMZN CTSH EA GE JNJ ORLY QCOM VOD WBA
547427 Kolomiiets, Polina CAT CSCO DD EA KO NTAP PG SIRI TSCO WBA
556296 Lum Mafor, Nora AXP CAT CHRW CTSH FISV GS IBM SBUX TXN UTX
546195 Meftun, Feridun Batu ADSK AMGN AMZN CVX EBAY INTC NVDA ORLY SWKS WDC
546168 Mishu, Taslima Rahman CHRW CTSH GE INTU KO MAR MNST NKE NTAP PAYX
556305 Myat, Aye Thiri AAPL AXP BIIB CHKP COST DD DLTR EXPD PG SIRI
556316 Nascimento Vianna, Cecilia ADI BMRN CHKP EXPD MAT NKE NVDA REGN VEON VOD
556287 Oyeyele, Funmilayo ADP CAT CHRW COST CVX HSIC KLAC KO PAYX PG
528037 Shiroiya, Darshit Jayesh AMZN BA BMRN COST JPM MNST MU NLOK PAYX XOM
546144 Yosra, Touirtou ADP AMZN CAT CHKP DLTR KLAC MCD NLOK PFE SBAC
546231 Zafar, Mutahar CMCSA EA GS LRCX MAR MCD MU PAYX SBAC SIRI