Thank you!
and good luck with the rest of your program.
Here is the photo that Shu-Ai had taken in Rarig yesterday.
and good luck with the rest of your program.
Here is the photo that Shu-Ai had taken in Rarig yesterday.
The last assignment is nominally due in two weeks, but we can talk next week about how I can collect it since Bill's module is running on a different schedule this term.
The lab project yesterday consisted of -
The historical data consists of five years of monthly relative returns on eleven sectors versus the Russell 3000 benchmark index.
The prior is to be represented by 12 months of pseudo-observations, with each sector return independent with mean 0% and standard deviation 2% per month.
For next week's lab, please write a script to produce 1,000 versions of the augmented data and the corresponding solutions for the SR (Sharpe Ratio) portfolio with unit expected objective.
The lab project for this week is to put a version of the portfolio re-balance problem into the MATLAB standard form for linear programming. Find vectors $f$ and $b$ and a matrix $A$ such that the optimal trade list satisfies -
$argmin_x f'x$ s.t. $Ax\le b, x\ge 0$ where
$x=(buy_1,sell_1,buy_2,sell_2,...)'$ for assets 1, 2, 3, etc.
Initial allocations and prices and current prices for the assets are available in the file case9.dat. The object is to minimize transactions costs (0.05 per share) and capital gains taxes (20%) on gains or losses from sales. The constraints are that the new allocations must be positive, the new weights must be within 1% of initial weights, and cash must be raised through sales to cover purchases and costs.
The schedule indicates that we have a different room in Ford Hall this term: FordH B10. I have not checked on it yet; but I assume there will be no problems. Let's plan to meet there at 5PM on Wednesday.
We will not need to use the Lind Hall lab in the first week.
Please see his course website for the reading assignment. Lectures will be in our lecture hall, FordH127.
Contact me if you have any questions.
Come to office hours on Tuesday, 6-8PM, if you want to see me in person.
The main reference for this is
Zakoin, Jean-Michel, Threshold heteroskedastic models, Journal of Economic Dynamics and Control, vol. 18, 1994, pp. 931-955
This journal is avaialble online through the library.
See (2.282) for the definition of a symmetric Levy-stable random variable.
I have posted two versions of the solutions I worked, one in Mathematica 6.0 and the other in MATLAB R2007b. If you need me to re-work the Mathematica solution for a previous version, please let me know. In both cases, I used trial and error to identify that the optimal portfolio was 55% risky asset and 45% riskless asset.
As was announced last week, until you hear otherwise assume that the Wednesday evening sessions will start at the classroom in FordH 127 at 5:00 and move to lab in LindH 024 after the break at 6:30.
The lab is scheduled to be open to the public prior to the lecture, so it should still be open after the break. If not, I can open it.
Here is the diagram that I shared in class from Casella & Berger that shows the relationships between the major classical distributions.
The files we use in the lab such as the M-file for binomial() will be kept in the directory http://www.math.umn.edu/~dodso013/fm503/docs/.
It is not required for success; but I encourage you to learn and use "functional" programming techniques in MATLAB (or Mathematica or whatever high-level programming language you use), especially when working with random variates.
You can load a sample of random variables into MATLAB using the command
sscanf(urlread('http://www.math.umn.edu/~dodso013/fm503/case1.dat'),'%f')
There are readings due for the first session on 5 September. Please see the syllabus.
Orientation is 9 AM Monday, 27 August in Vincent Hall 120.
Feel free to leave comments for the instructor and other visitors.
