Essay Stock Return and Portfolio Analysis – Economics Assignment Help

Assignment Task:

Requirement:

Pls, finish the tasks according to the requirements. All the tasks need to be finished by using R. Pls present your results in the word file, copyall your R code in the end of this word file, and then submit your word file via the Turnitin link in iLearn. 

Task 1: Stock Return and Portfolio Analysis
In the file named as “Stock.csv”, you have been provided with the daily prices of three stocks from 2012 to 2018. 
a. Plot and present the stock prices in time series with appropriate labels.

b. Calculate the log returns of all the three stocks and express them in percentages. 
Pls report the descriptive statistics of log returns of three stocks in Table 1. Pls change the names in Table 1 to the stock names in your file.

c. Pls report the correlation matrix of log returns of three stocks in Table 1. Pls change the names in Table 1 to the stock names in your file.

e. Pls make your comments by comparing the results ind and e[1 mark].

f. If an investor would like to form a portfolio with a targeted expected return of 0.08% and achieve the minimized standard deviation by investing in these three stocks in the “Stock.csv” file. If the daily risk free rate is 0.02%, what is the Sharpe ratio of this optimal portfolio, given there is no short sale constraint? [1 mark] [hint: can use the library of “quadprog”] [pls provide your R code used to form the optimal portfolio in the end of the word file].

g. If an investor would like to form a portfolio with a targeted expected return of 0.08% and achieve the minimized standard deviation by investing in these three stocks. If the daily risk free rate is 0.02%, what is the Sharpe ratio of this optimal portfolio, given there is short sale constraint (i.e., you cannot short sell the stocks)? [1 mark] [hint: can use the library of “quadprog”]

h. By comparing your answer in g) and h), is there any difference in their Sharpe ratios? Why that’s the case? [1 mark]

i. Given there is no short sale constraint, pls draw an efficient frontier that satisfies the following conditions: 1. The range of the mean return of the portfolio is from 0.75*min of the mean return of three stocks to 1.25*max of the mean return of three stocks; 2. Pls create 500 optimal portfolios in this range; 3 Then pls plot all the risk-return combination of the 500 optimal portfolios (i.e., the efficient frontier). [1 mark] [Pls provide your R code in the end of word file]