Publications by Kimberly Faye L. Chozas
Document
asset.names <- c("MSFT", "NORD", "SBUX") mu.vec = c(0.0427 , 0.0015 , 0.0285) names(mu.vec) = asset.names sigma.mat = matrix(c(0.0100 , 0.0018 , 0.0011 ,0.0018 , 0.0109 ,0.0026 ,0.0011 , 0.0026 , 0.0199) ,nrow=3, ncol =3) dimnames(sigma.mat) = list(asset.names , asset.names) mu.vec ## MSFT NORD SBUX ## 0.0427 0.0015 0.0285 sigma.ma...
22 sym R (1372 sym/16 pcs)
Midterm Exam
Number 1. Import Data Load libraries library(quantmod) ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 method overwritten by 'quantmod': ## method ...
1123 sym R (24920 sym/89 pcs)
Document
rm(list=ls()) library(pacman) p_load(quantmod, quadprog, lpSolve) library(xts) p_load(TTR) library(SIT) ## Loading required package: SIT.date ## ## Attaching package: 'SIT' ## The following object is masked from 'package:TTR': ## ## DVI ## The following object is masked from 'package:base': ## ## close QUESTION NUMBER 1 industry10 <- ...
161 sym R (11431 sym/54 pcs) 7 img
Document
retdata = read.csv('m-fac9003.csv') t = dim(retdata)[1] market = retdata[,14] riskfree = retdata[,14] retdata1 = retdata[,c(-14, -15)] retdata1 = as.matrix(retdata1) head(retdata1) ## AA AGE CAT F FDX GM HPQ KMB MEL NYT PG ## [1,] -16.40 -12.17 -4.44 -0.06 -2.28 -2.12 -6.19 -11.01 -10.77 -6.30 -8.89 ## [2...
652 sym R (4893 sym/25 pcs) 3 img
Document
etf4.df <- read.csv('myetf4.csv') str(etf4.df) ## 'data.frame': 751 obs. of 5 variables: ## $ Index : chr "2015-12-14" "2015-12-15" "2015-12-16" "2015-12-17" ... ## $ X0050 : num 53.3 53.3 54.1 54.8 54.5 ... ## $ X0056 : num 18.2 18.4 18.6 18.8 18.9 ... ## $ X006205: num 31.1 31.6 31.6 32.2 32.2 ... ## $ X00646 : num 19.6 19.6 19...
604 sym R (7979 sym/54 pcs)
Document
etf4.df <- read.csv('myetf4.csv') str(etf4.df) ## 'data.frame': 751 obs. of 5 variables: ## $ Index : chr "2015-12-14" "2015-12-15" "2015-12-16" "2015-12-17" ... ## $ X0050 : num 53.3 53.3 54.1 54.8 54.5 ... ## $ X0056 : num 18.2 18.4 18.6 18.8 18.9 ... ## $ X006205: num 31.1 31.6 31.6 32.2 32.2 ... ## $ X00646 : num 19.6 19.6 19...
677 sym R (9314 sym/65 pcs) 1 img
Publish Document
retdata = read.csv('m-fac9003.csv') t = dim(retdata)[1] market = retdata[,14] riskfree = retdata[,14] retdata1 = retdata[,c(-14, -15)] retdata1 = as.matrix(retdata1) head(retdata1) ## AA AGE CAT F FDX GM HPQ KMB MEL NYT PG ## [1,] -16.40 -12.17 -4.44 -0.06 -2.28 -2.12 -6.19 -11.01 -10.77 -6.30 -8.89 ## [2...
652 sym R (4893 sym/25 pcs) 3 img
Homework 6
Loading the Packages library(quantmod) ## Warning: package 'quantmod' was built under R version 4.0.5 ## Loading required package: xts ## Loading required package: zoo ## ## Attaching package: 'zoo' ## The following objects are masked from 'package:base': ## ## as.Date, as.Date.numeric ## Loading required package: TTR ## Registered S3 me...
2132 sym R (97718 sym/334 pcs) 9 img