讲解：Ac.F 602、Python、Python、Jupyter NotebookJava|Pytho

Ac.F 602: Advanced Investment ManagementCoursework Assignment – Lent Term 2018-19Coursework Deadline:12:00 (noon) on Tuesday 23 April 2019Where to submit:1. All groups need to submit a Jupyter Notebook document onto the Moodle. Within thisJupyter Notebook, you are required to provide your Python codes to demonstrate the analysisand interpret the results (see below for detailed requirements)2. All groups also are required to submit a report document for the interpretations of results ontothe Moodle.Cover sheet:You should include your group details on the first page of your assignment including:1. Full names of each group member2. Students IDs of each group memberFormat:The hardcopy for the interpretations of results should be consistently formatted as:1. Font, Font Size: Times New Roman, 122. Line Space: 1.53. Use page numbersGroup limit:Coursework groups are restricted between 2 and 3 students, inclusive.Word limit:The coursework assignment should be kept as short and concise as possible. The word limits for thehardcopy of the interpretations of your results are:1. Task 1: 500 words2. Task 2: 500 words3. Task 3: 300 wordsMarks:This assignment counts 20% towards the final mark in this module.INSTRUCTIONSTASK 1 [40 marks]Choose 50 stocks from the U.S. stock markets (e.g., NYSE, Amex and Nasdaq) and download theirmonthly returns of those stocks from relevant databases (e.g., WRDS). You may also like toconsider downloading the monthly returns for the corresponding risk free asset and market indexfor the U.S. stock markets. The sample period covers 10 years at least. Answer the followingquestions:1. Draw/compute an efficient frontier based on your chosen stocks and then plo代写Ac.F 602作业、代写Python课程设计作业、Python编程语言作业调试、代做Jupyter Noteboot the capitalmarket line on the same graph. [20 marks]2. Choose two stocks. What are the market betas for your stocks? Interpret. [10 marks]3. Choose two stocks. What are the alphas for your stocks? Interpret. [10 marks]TASK 2 [40 marks]Construct Fama-French five-factor model (Fama and French, 2015) augmented with a momentumfactor (Mkt, SMB, HML, RMW, CMA and UMD). Analyse the styles and evaluate theperformance of your portfolio (from TASK 1) using CAPM, Fama-French three-factor model, andthe constructed six-factor model and interpret your results:4. What are the factor loadings of your portfolio estimated from those three models? Interpret.[20 marks]5. What are the alphas for your portfolio estimated from those three models? Interpret. [20marks]TASK 3 [20 marks]Follow Bodnaruk, Loughran and McDonald (2015) to conduct textual analysis (bag of words) on 10-Ktext obtained from SEC EDGAR database. Construct an additional risk factor on financial constraints(for instance, most financial constrained vs least financial constrained) and provide summary statisticsfor this constructed factor. Add this factor to Fama-French three-factor model and the six-factor modelfrom TASK 2 and analyse the factors loadings and alphas from these two new model specifications. [20marks]ReferencesFama, Eugene F., and Kenneth R. French. (1993) Common risk factors in the returns on stocks andbonds. Journal of Financial Economics 33: 3-56.Fama, Eugene F., and Kenneth R. French. (2015) A five-factor asset pricing model. Journal ofFinancial Economics 116: 1-22.Bodnaruk, Andriy, Tim Loughran, and Bill McDonald. (2015) Using 10-k text to gauge financialconstraints. Journal of Financial and Quantitative Analysis 50: 623-646.转自：http://ass.3daixie.com/2019041423053933.html