A. Industries datribution of SSE 50 index, CSI 300 inder and CSI smallcap S00 index in crTic peimary induatry. (OOr any indintry standard] a. Lint sources of data(website) b. Use the histgram to show the number of constitutent stocks in each industry of SSE 50 index, CSI 300 index and CSI smalcap 500 inder c. Based on the latest market value, you need calculate the wright of cansthutent stocks in stock index, You akse need to calculate the sum of weighns of the top to weighted conttituted stocks in the stock inder. d. Compare the three stock indenes and tell is differencts in their constitule stoca. composinion. (Hien: From industry distribution and market value weichts sides) 1. s s 1 2022 12 ] B. The CS300 index stock pool is adjusted every six month, and the adfustreent it implemented in fune and December each year. 1. Construct a trading straterr based on each stock pool adjustment. Specifalif. cakulate the average return (market capitaliation-meighted) and excess fetum mutive to the CS1 300 index for the day, week, and menth following the adjastment dien for the stocks that are trandered in. Calculute the average return imarket capitulizsopweighted) and excess return relative to the CSI 300 for the day, week, and morth following the transfer-out date for the picked stock. They are presented in the form of tablei respectively, (Sample interval: Lanuary 2050 to Desemiber 2002 ) 2. Try to explain the economiss/finante principles toeresobnding to the resuls in the analyeis 81 . Problem set 2: Afth 4 . H?? Please select stods with annualized returns higher than 100 s in each vear from 2010 Jan 1 uncil now. We focus on stocks with circulation market value higher than 500 milion an the beginning of the period. 1. Please draw the dally return distribution, and count the number of divn when the daly return is higher than 6. in addition caiculate the proportion of uxch don. What is vosur cenclusion? 2. Mease count the number of days when the daily return is boert than -fik, in adsition calculate the proportion of such darn. What panterns did you find? What are the revelations for your trading in the future? Problem set 3: Markowitz Asset Portfolio Model 1. Find the latest stock pool of CS1300 released in December 2022, and dowrlaud the daily retiens of 300 constituent stocks trom lanary 1. 2022 to December 31. 2022. Based on monthly histoncal dara, etsimate the mean variance, covariance matrit of these three hundred stocks. 2. Assuming that the market only has these 300 risky assets. Construct an effective frontier of the asvet portfolio composed of theie shocki, repont detailed atset pertolio weights, and plot them. The Y-axis of the eraph carresponds to the expectid refurm, waile the X-axis corresponds to the standard deviation. Calculate the correlation between the asset portfolio weights you obtained and the actual weights of the Cs300 component sock asset portfolioh, and try to explain your lindings. A. Industries datribution of SSE 50 index, CSI 300 inder and CSI smallcap S00 index in crTic peimary induatry. (OOr any indintry standard] a. Lint sources of data(website) b. Use the histgram to show the number of constitutent stocks in each industry of SSE 50 index, CSI 300 index and CSI smalcap 500 inder c. Based on the latest market value, you need calculate the wright of cansthutent stocks in stock index, You akse need to calculate the sum of weighns of the top to weighted conttituted stocks in the stock inder. d. Compare the three stock indenes and tell is differencts in their constitule stoca. composinion. (Hien: From industry distribution and market value weichts sides) 1. s s 1 2022 12 ] B. The CS300 index stock pool is adjusted every six month, and the adfustreent it implemented in fune and December each year. 1. Construct a trading straterr based on each stock pool adjustment. Specifalif. cakulate the average return (market capitaliation-meighted) and excess fetum mutive to the CS1 300 index for the day, week, and menth following the adjastment dien for the stocks that are trandered in. Calculute the average return imarket capitulizsopweighted) and excess return relative to the CSI 300 for the day, week, and morth following the transfer-out date for the picked stock. They are presented in the form of tablei respectively, (Sample interval: Lanuary 2050 to Desemiber 2002 ) 2. Try to explain the economiss/finante principles toeresobnding to the resuls in the analyeis 81 . Problem set 2: Afth 4 . H?? Please select stods with annualized returns higher than 100 s in each vear from 2010 Jan 1 uncil now. We focus on stocks with circulation market value higher than 500 milion an the beginning of the period. 1. Please draw the dally return distribution, and count the number of divn when the daly return is higher than 6. in addition caiculate the proportion of uxch don. What is vosur cenclusion? 2. Mease count the number of days when the daily return is boert than -fik, in adsition calculate the proportion of such darn. What panterns did you find? What are the revelations for your trading in the future? Problem set 3: Markowitz Asset Portfolio Model 1. Find the latest stock pool of CS1300 released in December 2022, and dowrlaud the daily retiens of 300 constituent stocks trom lanary 1. 2022 to December 31. 2022. Based on monthly histoncal dara, etsimate the mean variance, covariance matrit of these three hundred stocks. 2. Assuming that the market only has these 300 risky assets. Construct an effective frontier of the asvet portfolio composed of theie shocki, repont detailed atset pertolio weights, and plot them. The Y-axis of the eraph carresponds to the expectid refurm, waile the X-axis corresponds to the standard deviation. Calculate the correlation between the asset portfolio weights you obtained and the actual weights of the Cs300 component sock asset portfolioh, and try to explain your lindings
