hw6 - ORIE 4630 D. Ruppert Homework #6 due Friday, Oct 8,...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
ORIE 4630 — D. Ruppert Homework #6 — due Friday, Oct 8, 2010 Note: Students are required to work independently on homework. In this assignment, you will fit a one-factor model with the excess returns on the market rate will serve as the risk-free rate. This assignment uses the data set Stock_FX_Bond_2004_to_2006.csv . This data set contains a subset of the data used in Homework #5 with the risk-free rate (90-day Treasury rate) added. The R commands needed to fit a factor model will be given in small groups so that they can be explained better. First run the following commands to read the data, extract the prices, and find the number of observations: dat = read.csv("Stock_FX_Bond_2004_to_2006.csv",header=T) prices = dat[,c(5,7,9,11,13,15,17,24)] n = dim(prices)[1] Next, run these commands to convert the risk-free rate to a daily rate, compute net returns, extract the Treasury rate and compute excess returns for the market and for 7
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 09/20/2011 for the course ORIE 4630 at Cornell University (Engineering School).

Page1 / 2

hw6 - ORIE 4630 D. Ruppert Homework #6 due Friday, Oct 8,...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online