The file contains historical returns on a random sample of 50 companies. Some of the returns
may be NA, and you will need to deal with this prior to using the data.
Additionally, the file hw3_funddata.csv contains a selection of descriptive & fundamental data on those same
50 companies as of February 28, 2018. The descriptors in the file are:
• Company: The Company Ticker
• GICS Sector: The GICS Sector to which each company belongs
• MarketCapitalization: The Market Capitalization of each company
• Size: A classification of each company into one of potentially 5 market cap groups (Large, LargeMid,
Mid, SmallMid, and Small) – note that not all of the 5 groups may be represented in the data.
• AlphaForecast: The output of a Value + Momentum alpha forecasting model for these 50 companies.
Goals (all of these tasks must be completed in R):
• Clean the return data (deal with NA values)
• Find the weight vectors for the following portfolios as of Feb 28, 2018:
– Market Capitalization Weighted
– Equally Weighted
– Naive Risk Parity (Inverse Volatility Weighted)
– Minimum Variance (your portfolio should be long-only, and should have no more than 10% in any
Compare each of the four portfolios in terms of:
• The predicted (annualized) volatility of the portfolio
• The forecasted alpha of the portfolio
• The weight in each of the GICS Sectors
• The weight in each of the size groups
Finally, optimize one final portfolio that uses the AlphaForecast for each stock as the expected return. You
are free to choose your own constraints and portfolio form (long only, long short, etc.) as well as the return
target. The goal is to achieve a high forecasted Alpha with reasonable risk and diversification. Explain why
you chose the method you did and discuss your results.
• I recommend you install the package BurStFin and use the function var.shrink.eqcor() to calculate your
covariance matrix. For these excercises, please use all the data (full history).
• If you wish to include a beta constraint for your optimal portfolio (such as in a long-short optimal
portfolio with predicted market neutrality), you could download the historical S&P/TSX Composite
Index time series from Yahoo!Finance via quantmod, calculate the returns and line up data with your
sample of stock returns, and then use linear regression to estimate each stock’s beta vs. the index.
This appraisal ought to be composed and organized as a business report. Select one of the accompanying Operations Management themes (please note that you may likewise choose a sub-point inside every one of the primary subjects): • Lean activities • Quality administration You are relied upon to set up a report based on the accompanying goals. 1. A concise portrayal and diagram of the point chose. This segment may incorporate illustrations, contextual analyses or vignettes from genuine life tasks that are sourced from both the scholarly (e.g. diary papers, original copies) and non-scholastic (e.g. financial analyst, business week and so forth) writings. 2. An investigation of the theme with respect to their commitment to the execution of activities. For instance, what is the connection between lean tasks what's more, firm execution? Specifically, I hope to see a blend of observational confirmation that is accessible in the current scholarly and specialist writing. It would be ideal if you take note of that this proof can be either quantitative or subjective (I don't have an inclination as long as the confirmation is strong). 3. Solid examination will likewise incorporate logical variables. For instance, the effect of TQM programs on execution might be for the most part positive but at the same time is appeared to change agreeing to level of authoritative control (Douglas and Judge, 2001), and firm size (Hendricks and Singhal, 2001 - see full references in the Modules area - Composed Assessment). Your work could show prove for this and a talk of the purposes behind the possibility impact. 4. A rundown and conclusion in light of your discoveries. Sources: Your investigation will be founded on foundation perusing and you ought to give references from scholarly and in addition professional articles to legitimize your presumptions and articulations. Your perusing could incorporate yet not really restricted to the accompanying proposed Diaries: 1. Diary of Operations Management 2. Global Journal of Operations and Production Management 3. Diary of Supply Chain Management 4. Creation and Operations Management 5. Sloan Management Review 6. Harvard Business Review 7. Universal Journal of Production Research FAQs: 1) How would I structure my report? I recommend the accompanying structure: 1. Presentation 2. Subject: portrayal, examination, and conceivably logical variables 3. Conclusions 2) How would I recognize the variables in charge of execution? You ought to counsel the scholarly writing to comprehend the components basic each of the point territories. A decent place to begin is a meta-examination, for instance: Mackelprang, A. W., and Nair, A. (2010). Connection between in the nick of time fabricating practices and execution: A meta-systematic examination. Diary of Tasks Management, 28(4), 283-302. From here you can begin to comprehend the immediate impact of each factor on the different measurements of tasks execution (e.g. cost, quality, conveyance, adaptability) as well as association execution (e.g. money related execution). 3) How much confirmation is required? Ordinarily, the more proof the better, in any case, I would expect at least 10 scholastic references to be utilized for the chosen theme. Report Specifications Your report ought to be of 2000 words (±10%). As far as possible allude to the principle body of content and rejects informative supplements, tables, references and official synopsis (on the off chance that you choose you require one). If you don't mind utilize the APA referencing framework. Points of interest: The writing audit in an exposition serves to light up the examination hole and in this way legitimize the need of the investigation and the proposed ponder system. Despite the fact that this reason stays reliable over all approachs, the structure of the writing audit area of a subjective exposition regularly varies somewhat from that of a quantitative paper. For instance, writing audits in quantitative expositions are predominantly developed around the factors while those in subjective theses can be built from multiple points of view. In this task, you will differentiate the structures of a subjective and a quantitative writing audit and think about a basis for those distinctions. General Requirements: Utilize the accompanying data to guarantee effective finish of the task: Survey the Vangilder (subjective) paper. Survey the Wigton (quantitative) paper. This task utilizes a rubric. It would be ideal if you survey the rubric preceding starting the task to get comfortable with the desires for effective culmination. APA style is required for this task. You are required to present this task to Turnitin. Bearings: Compose a paper (500-750 words) in which you differentiate the structures of the subjective and quantitative papers referenced above and give a method of reasoning for the distinctions. Incorporate the accompanying in your paper: 1. A reasonable depiction of the essential contrasts between the structures of the writing audits. 2. A justification for the watched contrasts. What factors added to the distinctions the structures of these writing audits? RES-845-RS-WigtonQuantDissertation.pdf RES-845-RS-VangilderQualDissertation.pdf Ecological Sociology Answer two out of these three inquiries in view of the readings on the course syllabus. The appropriate responses ought to be given in an article configuration and identify with both the applied or hypothetical contentions the creators give and additionally to the experimental confirmation (measurable, ethnographic, or verifiable) they utilize. Each answer ought to be 5 to 6 pages in length, i.e. 10 to 12 pages for the whole exam (twofold divided, 12 point Times New Roman text style). Exams are to be submitted as one record on Turnitin by means of the course site by the most recent day of finals week (March 23rd) at 4pm. A. Natural issues have every now and again been portrayed as aggregate activity issues. How does the model of the awfulness of the center help to break down ecological issues? What are the components that decide if aggregate activity that addresses these issues will occur? What sort of arrangements does the market (e.g. green utilization) offer and what are the focal points and detriments contrasted with political arrangements (e.g. enactment)? B. Environmental change is right now a standout amongst the most examined natural issues. What exactly degree would climate be able to change be portrayed as an aggregate activity issue and how can it contrast from other natural aggregate activity issues? What sort of components clarify who sees environmental change as a squeezing issue and who does not? What are the snags that hinder both political (e.g. universal enactment) and individual (e.g. way of life changes) answers for environmental change? C. Natural issues influence distinctive gatherings of individuals in an unexpected way. What sort of social factors (e.g. class and race) represent these distinctions and how do these distinctions play out on a worldwide scale (when contrasted with a national one)? What are the reasons that empower a few gatherings to shield themselves from natural risks, while others neglect to do as such? How does the capacity of a few gatherings to ensure themselves fit as a fiddle their eagerness to take part in political activity that likewise benefits different gatherings in the public eye? Instructions to cite: If you don't mind just reference readings that are recorded on the syllabus. When you quote an entry from a content on the syllabus, dependably try to utilize quotes took after by a reference in bracket containing the name of the author(s), the distribution date, and the page number. Case: "There is nothing normal about the idea of wild. It is altogether a formation of the way of life that holds it dear, a result of the very history it tries to deny." (Cronon 1996: 16)>GET ANSWER