python Download ['AMZN', 'CMG', 'GME'] 5 year from 2015-01-01 to 2020-01-01 close price data using yfinance package.
Question:
python
Download ['AMZN', 'CMG', 'GME'] 5 year from 2015-01-01 to 2020-01-01 close price data using yfinance package. Downsample data into monthly, by choosing the average price of each month. 1. Find two tangency portfolio weights at C = 0.05 and C = 0.10 using Merton's proposition.
2. What are the expected return, standard deviation and sharpe ratio for each portfolio?
3. Which tangent portfolio has higher sharpe ratio, and why is it the case?
4. Visualize the envelope frontier. Highlight two tangency portfolios with different colors.
5. What is the weights of Global Minimum Variance Portfolio(GMVP)?
6. What are the expected return, standard deviation and sharpe ratio for GMVP?
7. Highlight GMVP on the plot (4), with distinct color
Financial Analysis with Microsoft Excel
ISBN: 978-1285432274
7th edition
Authors: Timothy R. Mayes, Todd M. Shank