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FIN6307 HW5 - Use Cholesky decomposition to simulate two stock's price series Select any two stocks and download the weekly historical prices from yahoo finance
FIN6307 HW5 - Use Cholesky decomposition to simulate two stock's price series Select any two stocks and download the weekly historical prices from yahoo finance over last two years. 1. Compute the weekly returns for each stock. 2. Calculate the mean of weekly returns for each stock and the covariance matrix. 3. Find out the lower triangle matrix of the covariance matrix. 4. Simulate the weekly returns for each stock based on lower triangle matrix in next year. Add the mean return to the simulated series for each stock. 5. Use the last price in the historical data and the simulated return series to compute the stock prices in next year
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