讲解：DAT 537、program、R、RJava|Processing

DAT 537: Final ProjectSiddhartha ChibNovember 18, 2019Project InstructionsEach of the two projects described below aims to help you gain some hands-on experiencein processing and analyzing real marketing or financial data. Each team should consist ofno more than 6 members. Each team completes both projects. Project parameters are asfollows.1. Only one student in each team should submit the team report. The report is due by23:59 pm on December 9, 2019.2. The first page of the report should list the name of each team member followed by theprogram track (MBA, MSCA, MSF in quantitative finance or MSF in corporate financeetc).3. BOTH the knitted output file and the Rmd file used to generate the report have to besubmitted.4. The Rmd file should be such that all results are fully reproducible.1Finance Project: Diversification EffectsThis project helps you observe the principle of diversification in action. Diversification meansthat the portfolio risk can be reduced by investing in a variety of assets.1. Select 30 stocks that you are interested in. Find their yahoo symbols. Thiswebsite can help you find the symbols that yahoo is using http://investexcel.net/all-yahoo-finance-stock-tickers/. Remember to double check the symbols at yahoofinance.2. Download 4 years of weekly price data for each stock from June 1, 2015 to June 1, 2019.Remember this requires that all 30 stocks you select in step 1 should be available forthese 4 years.3. Assume that the desired portfolio mean return levels are .03, .06, .09 and .12, each inannual terms.4. Now form 6 portfolios for each desired return level (each portfolio includes the risk-freeasset). Each portfolio has 5, 10, 15, 20, 25 and 30 stocks. The smaller set of assetsshould be a subset of the larger set. For example, if you have IBM in the set of 5 stocks,you must include IBM in the portfolios of 10, 15, 20, 25 and 30 stocks.5. Assume that the stock premium is explained by the Gaussian SURE CAPM modelwithout an intercept.6. Now form each portfolio, use the default training sample prior. Comment on the priorin the case of the SURE model with 15 assets.7. Now compute the optimal portfolios for e代做DAT 537、代写program、R编程语言调试、代写ach group of assets at each target portfolioreturn level. Give the weights of each asset in each portfolio as well as the standarddeviation of the optimal portfolios.8. Use ggplot to plot the standard deviation vs. the number of stocks in the assets.Comment on your findings.9. Redo questions 5-8 with student-t errors. For each set of assets, use log-marginallikelihoods to find the appropriate-degrees of freedom of the student-t distribution on agrid of 10 equally-spaced values between 3 and 5.2Marketing Project: Tuna Market ShareThis project helps you understand how to set a price level consistent with marketing objectives.1. Load the tuna data set from package bayesm. There are seven brands in the dataset. For each brand, estimate separate independent student-t models where logsalesfor each product is regressed on an intercept, the product’s log price and displayactivity. Use the default training sample prior and use log-marginal likelihoods tofind the appropriate-degrees of freedom of the student-t distribution on a grid of 20equally-spaced values between 3 and 6.2. Now estimate a SURE student-t model for the seven brands. Again use marginallikelihoods to find the appropriate degrees of freedom on a grid of 20 equally-spacedvalues between 3 and 6. From your estimation results, which pair of products is themost correlated?3. Now suppose you are managing the sales of Star Kist 6 oz, and you want to know whatprice to charge for your product, given the other six other products in the market.Suppose your main competitor is Chicken of the Sea 6 oz and you would like to generate(on average) twice the total sales compared to Chicken of the Sea 6 oz. How would youdetermine your own price? Assume that the other products in the market have thefollowing attributes:Product Price($) Display ActivityStar Kist 6 oz ? 0.31Chicken of the Sea 6 oz 0.70 0.35Bumble Bee Solid 6.12 oz 1.80 0.29Bumble Bee Chunk 6.12 oz 0.85 0.23Geisha 6 oz 1.40 0.35Bumble Bee Large Cans 3.49 0.25HH Chunk Lite 6.5 oz 0.75 0.24In providing your solution, assume that Star Kist prices are one of these prices0.44, 0.54, 0.64, 0.74 and 0.84 (all in dollars).3转自：http://www.daixie0.com/contents/3/4342.html