Question
Use python to do this Assume your current asset V=$5. You are able to borrow from your broker about 95 with the annual market interest
Use python to do this
Assume your current asset V=$5. You are able to borrow from your broker about 95 with the annual market interest rate at r=4%. You plan to use your own money plus your borrowed amount to invest in some equity assets. Assume you invest in S&P 500 index. Therefore, you form a portfolio with debt cash and equity.
First, you calculate the mean, standard deviation, skewness and kurtosis of the weekly portfolio return.
Second, you measure the risk of your portfolio by applying historical VaR and ES (expected shortfall) at 1% and 5% respectively and using the weekly data for the last 10 years. Hint: you generate the portfolio return, and calculate VaR and ES of your portfolio return.
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