Financial Econometrics

We do a comprehensive portfolio analysis in this project. First, form different portfolios of financial assets from different time periods such as recession and bull market based on criteria created by yourself. Download the data from yahoo finance accordingly. Evaluate and compare the performance of those portfolios using CAPM models. Second, propose your own trading strategies such as technical analysis or fundamental analysis and the timing to buy and sell. Compare cumulative returns of different strategies. Give a detailed discussion of your portfolios and strategies. Keep some observations as holdout sample to examine the out of sample performance of your strategies. Do as best as you can. Write a comprehensive report following the style of the sample reports. Also, submit your codes. Work on the project independently. The report is expected to have around 7 pages.

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