讲解：STA457、Moskowitz、Python，c++、JavaC/C++| Statis

STA457 Time Series Analysis Assignment 1 (Winter 2019)Jen-Wen Lin, PhD, CFADate: February 07, 2019Please check in Quercus regularly for the update of the assignment.Background reading:1. Assignment and solution (Fall 2018)2. Moskowitz et al. (2012), “Time series momentum”, Journal of Financial EconomicsGeneral instruction§ Download daily and monthly data of 30 constituents in the Dow Jones (DJ) index from 1999December to 2018 December. Please see https://money.cnn.com/data/dow30/ for the list ofDJ constituents.§ Calculate the performance based on a 60-month rolling window and rebalance the portfolioannually at the end of each year.Questions:A. Technical trading rule1) Find the optimal double moving average (MA) trading rules for all 30 DJ constituents(stocks) using monthly data.Hint: see Assignment (Fall 2018) for more details.2) Construct the equally weighted (EW) and risk-parity (RP) weighted portfolio using all30 DJ constituents. Summarize the performances of EW and RP portfolios (tradingstrategies).Hint: For simplicity, assume the correlations among stocks are zero whenconstructing the risk-parity portfolio.Copyright ? Jen-Wen Lin 20192B. Time Series Momentum1) Calculate the ex-ante volatility estimate for all 30 DJ constituents using thefollowing formula:# = 261 )(1 ).(2)where the weights add up to one, and is the exponentially weightedaverage return computed代做STA457留学生作业、Moskowitz作业代做、代写Python，c++课程设计作业、代做Java语言作业 帮做 similarly.2) Consider the predictive regression that regresses the (excess) return in month onits return lagged months, i.e. (4)where :, denotes the -th stock in the DJ constituents and in the predictionregression, returns are scaled by their ex-ante volatilities :,01. Determine theoptimal for both predictive regressions for all 30 DJ constituents.3) Consider a time series momentum trading strategy by constructing the followingportfolios:,P1QRSTS = 130):,0>V:L (5)where :,0>V:L :,L is our position for the -th constituent at time and>V:0>V: denote the :-month lagged returns observed at time. Summarize theperformance of the portfolio.Hint: For simplicity, assume : = 12 for all 30 DJ constituents.Copyright Jen-Wen Lin 2019C. Dynamic position sizing for technical trading rules1) Consider a technical indicator , where the technical indicator may be given by = ) 0^_0#>45. (6).Suppose that our position to the trading rule is determined by the strength (ormagnitude) of the signal. The -period holding period return is then given by. (7)Calculate the expected -period holding period return, i.e.,.Remark: In this question, we assume that our position changes linearly with thestrength of the signal. We can generalize it by replacing P.01 with(P.01) inEquation (7).2) Find the optimal double MA trading rule for all 30 DJ constituents that maximize the12-period holding period return.转自：http://ass.3daixie.com/2019021676271946.html