Answered step by step
Verified Expert Solution
Question
1 Approved Answer
write a code that would be able to run on python Problem 1: Estimation Window and Rolling Window Estimates ( 33 points) Oblective: in this
write a code that would be able to run on python
Problem 1: Estimation Window and Rolling Window Estimates ( 33 points) Oblective: in this probiom you will investigate the effect of the eatimation window on the rolling window estimates. The primary objective is to understand how different estimation windows impact the performance of the optimal portfollo. Instructions: 1. Data Collectlon: Downlosd monthy retuma for the Fama French 48 industy portfollos. Use the perlod Jan 1970 to Dec 2022. 2. Forming Tangency Portillios: Uaing the 48 industry portiollos, form tangency portiolios every month. To do this, you will use roling window eatimates of the covariance matrix and expected retums. The tangency portfolio is the portfolio on the efficient frontier with the hohest sharpe ntio. 3. Eatimation Windows: Calculate the Shape ratio of the tangency portiflios formed using different rolling window entimates. Speciffeally. report the Sharpe ratios for the following rolling window estimates: - 12 months - 24 montis 8. 36 monthe * 48 months * 60 manthe 5. Repert Report the Sharpe ratios of all ak portiollos in a table. In other words, anve the Shape ratios in a Dataframe and print it Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started