FINM8006 Advanced Investment Assignment Due 11/10/2024
Qiaoqiao Zhu
1 Chinese A-Share Market Stock market in China is often said to be heavily influenced by individual traders.Size and liquidity therefore are long suspected to play important roles in ChineseA-share market. Mutual fund industry has been developing in the recent years,especially after 2016. In this exercise, we will analyze the Chinese market from2012 to 2022.
1.1 Data Description The data folder contains two zipped (.gz) csv files.
- monthly_returns_cn.csv.gz contains monthly stock and market returnsfor stocks on Chinese market from 2010 to 2022.
– stkcd: stock code
– month: date of monthly end date
– ret: stock return
– mktret: market return– rf: risk free rate
- monthly_characteristics_cn.csv.gz contains firm characteristics ofthe shares traded each month from the market and earnings announcements.– stkcd: stock code– priormonth: end of the month date when characteristics information
is known
– market_value: market cap (value) of stock in the month
ep: EP ratio calculated as earnings divided by market cap– amihud: average Amihud measure in a month. Amihud measure is ameasure of stock illiquidity, calculated as stock price change divided
by trading volume. The higher the value the lower a stock’s liquidity.
1.2 Your Tasks
11.2.1 Mean Variance
Suppose you inherited an amount of money (M) at the end of year 2020 and wantto invest it in a basket of stocks and risk free asset at the beginning of 2021.stkcds of the stocks in your basket are ['600519', '002594', '002415','000333'] 代 写FINM8006 Advanced Investment and the risk free rate is known at the beginning of 2021. You haveCRRA utility function of risk aversion
标签：EP,FINM8006,portfolios,month,returns,market,Investment,Advanced,stock From： https://www.cnblogs.com/comp9313/p/18457658