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12.stockPortfolio_intro

12.stockPortfolio_intro - University of California Los...

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University of California, Los Angeles Department of Statistics Statistics C183/C283 Instructor: Nicolas Christou Introduction to the package stockPortfolio As short introduction of the package stockPortfolio . ######################### #===> ((((( 1 ))))) <===# #===> quick example <===# ######################### # load package library(stockPortfolio) # select stocks #IBM: International Business Machines Copr. #WFC: Wells Fargo & Compnay #JPM: JPMorgan Chase & Company #LUV: Southwest Airlines Co. #AMR: AMR Corporation ticker <- c("IBM", "WFC", "JPM", "LUV", "AMR") #Get stock data gr <- getReturns(ticker, start="2005-03-31", end="2010-03-31") #gr is a "list" object and we find what it contains by typing the following: names(gr) #We can access each component of gr by typing: gr$R gr$ticker etc. #Obtain the variance-covariance matrix of the returns: cov(gr$R) IBM WFC JPM LUV AMR IBM 0.004032997 0.001119602 0.001909833 0.001835828 0.002888327 WFC 0.001119602 0.014004525 0.009073188 0.004552771 0.012378982 JPM 0.001909833 0.009073188 0.008714023 0.004077969 0.009667494 LUV 0.001835828 0.004552771 0.004077969 0.008271521 0.011399779 AMR 0.002888327 0.012378982 0.009667494 0.011399779 0.047216958 #Obtain the correlation matrix of the returns: cor(gr$R) #We can find summary statistics as follows: summary(gr$R) #To find the mean, variance, and standard deviation of a particular stock mean(gr$R[,4]) var(gr$R[,4]) sd(gr$R[,4]) 1
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