The monthly price and return of NASDQ largest 2 stocks in 2018. Please write a report addressing the following tasks:
A. Construct two types of index for the 2 stocks: equally-weighted index and valueweighted index. Draw line plots for the two indices. (5%)
B. Using the given stocks, construct an efficient frontier. (5%)
C. Find the minimum variance portfolio. What are the return and variance of this portfolio? (5%)
D. Assume risk free rate is 0.1% (monthly), find the tangent portfolio. What are weights of each stock for the tangent portfolio? What are the return and variance of this portfolio? (5%)
Note: Please include your code in Appendix. The variable descriptions are:
PERMNO: code for the stock. date: date of each month end
TICKER: ticker of the stock
COMNAM: company name
PRC: close price of the stock
RET: holding period return
SHROUT: total shares outstanding
PERMNO date TICKER 11600 31/01/2018 XRAY 11600 28/02/2018 XRAY 11600 29/03/2018 XRAY 11600 30/04/2018 XRAY 11600 31/05/2018 XRAY 11600 29/06/2018 XRAY 11600 31/07/2018 XRAY 11600 31/08/2018 XRAY 11600 28/09/2018 XRAY 11600 31/10/2018 XRAY 11600 30/11/2018 XRAY 11600 31/12/2018 XRAY 12799 31/01/2018 YNDX 12799 28/02/2018 YNDX 12799 29/03/2018 YNDX 12799 30/04/2018 YNDX 12799 31/05/2018 YNDX 12799 29/06/2018 YNDX 12799 31/07/2018 YNDX 12799 31/08/2018 YNDX 12799 28/09/2018 YNDX 12799 31/10/2018 YNDX 12799 30/11/2018 YNDX 12799 31/12/2018 YNDX COMNAM PRC DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEXN YANDEX NV YANDEX NV YANDEX NI RET SHROUT 60.81 -0.076257 226800 56.06 -0.078112 226800 50.31 -0.101008 227400 50.34 0.000596 227439 43.81 -0.129718 227439 43.77 0.001084 222200 48.11 0.099155 222345 39.92 -0.170235 222345 37.74 -0.052417 222500 34.63 -0.082406 222548 37.78 0.090962 222548 37.21 -0.012771 223000 38.73 0.182595 325021 41.09 0.060935 287942 39.45 -0.039912 287942 33.36 -0.154373 287942 33.52 0.004796 287942 35.9 0.071002 290524 35.96 0.001671 290524 32.13 -0.106507 290524 32.89 0.023654 286519 30.13 -0.083916 286519 29.5 -0.020909 286519 27.35 -0.072881 286848 SMB 5.58 0.11 -3.65 -2.35 0.11 0.12 0.29 0.14 2.65 0.14 month mrp 201801 201802 201803 201804 201805 201806 201807 201808 201809 201810 201811 201812 0.48 3.19 3.44 0.06 -7.68 1.69 -9.55 HML rf -3.03 -1.37 0.26 -1.19 3.95 -0.12 1.12 0.54 5.23 -3.16 1.18 -2.38 -2.17 0.43 1.15 -4.08 -2.37 -1.3 -4.76 3.44 -0.79 0.25 -2.63 -1.47 0.14 0.16 0.16 0.15 0.19 0.18 0.19 PERMNO date TICKER 11600 31/01/2018 XRAY 11600 28/02/2018 XRAY 11600 29/03/2018 XRAY 11600 30/04/2018 XRAY 11600 31/05/2018 XRAY 11600 29/06/2018 XRAY 11600 31/07/2018 XRAY 11600 31/08/2018 XRAY 11600 28/09/2018 XRAY 11600 31/10/2018 XRAY 11600 30/11/2018 XRAY 11600 31/12/2018 XRAY 12799 31/01/2018 YNDX 12799 28/02/2018 YNDX 12799 29/03/2018 YNDX 12799 30/04/2018 YNDX 12799 31/05/2018 YNDX 12799 29/06/2018 YNDX 12799 31/07/2018 YNDX 12799 31/08/2018 YNDX 12799 28/09/2018 YNDX 12799 31/10/2018 YNDX 12799 30/11/2018 YNDX 12799 31/12/2018 YNDX COMNAM PRC DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS DENTSPLYS YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEX NV YANDEXN YANDEX NV YANDEX NV YANDEX NI RET SHROUT 60.81 -0.076257 226800 56.06 -0.078112 226800 50.31 -0.101008 227400 50.34 0.000596 227439 43.81 -0.129718 227439 43.77 0.001084 222200 48.11 0.099155 222345 39.92 -0.170235 222345 37.74 -0.052417 222500 34.63 -0.082406 222548 37.78 0.090962 222548 37.21 -0.012771 223000 38.73 0.182595 325021 41.09 0.060935 287942 39.45 -0.039912 287942 33.36 -0.154373 287942 33.52 0.004796 287942 35.9 0.071002 290524 35.96 0.001671 290524 32.13 -0.106507 290524 32.89 0.023654 286519 30.13 -0.083916 286519 29.5 -0.020909 286519 27.35 -0.072881 286848 SMB 5.58 0.11 -3.65 -2.35 0.11 0.12 0.29 0.14 2.65 0.14 month mrp 201801 201802 201803 201804 201805 201806 201807 201808 201809 201810 201811 201812 0.48 3.19 3.44 0.06 -7.68 1.69 -9.55 HML rf -3.03 -1.37 0.26 -1.19 3.95 -0.12 1.12 0.54 5.23 -3.16 1.18 -2.38 -2.17 0.43 1.15 -4.08 -2.37 -1.3 -4.76 3.44 -0.79 0.25 -2.63 -1.47 0.14 0.16 0.16 0.15 0.19 0.18 0.19
