Homework Assignments and Self-check Tools

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Homework #1: Calculating Financial returns

based on Cornell ORIE 5258, taught by Irene Aldridge

1. Pick any financial instrument
2. Find its ticker (symbol) on Yahoo! Finance
3. Download Yahoo daily data
4. Compute returns
5. Compute the following summary statistics for daily data:
   • Mean
   • Std
   • Skewness
   • Kurtosis
   • Percentiles: [0.01, 0.03, 0.05, 0.10, 0.25, 0.5, 0.75, 0.90, 0.95, 0.97, 0.99]
6. Pretend you bought this financial instrument on December 31, 2018, and have been holding it ever since (“buy and hold”). Compute:
   • Annualized return
   • Year-to-date (YTD) return
   • Annualized Sharpe Ratio
7. Enter your results below to see whether your code works correctly.
   • If your code does not work correctly, please try to fix it and try it again!

Homework #2: Calculating Optimal Minimum-Variance Portfolio Weights

based on Cornell ORIE 5258, taught by Irene Aldridge

1. Pick symbols of stocks, Futures, Crypto currencies that have data on Yahoo! Finance
2. Download daily data from Yahoo! for the chosen symbols
3. Generate minimum-variance portfolios from start date to end date, using the following techniques:
   • Ridge penalization
   • LASSO
   • Elastic Net
4. Enter your results below to see whether your code works correctly.
   • If your code does not work correctly, please try to fix it and try it again!