i have attached the assignment along with the Rubric
Project 3 Rubric For all questions, you will lose full credits if 1) there are neither codes nor results or 2) the results do not match the codes. 1. Did not properly prepare the data set ‘myportfolio’: -8 pts a) Incorrect answer or no highlight on the answer: -2 pts b) Did not find correct efficient frontier: -4 pts The plot is not legible (including unreasonable x lim and y lim): -2 pts The plot does not make sense in terms of the portfolio theory: -3 pts 2. 1) Did not create a function (that is, no function at all): -6 pts a) Incorrect function: -1 pt to -4 pts b) Did not use your own function: -1 pt 2) Did not create a function (that is, no function at all): -6 pts a) Incorrect function: -1 pt to -4 pts b) Did not use your own function: -1 pt 3. Did not create a function (that is, no function at all): -7 pts a) Incorrect function: -1 pt to -5 pts b) Did not use your own function: -1 pt This material is only for the use of students enrolled in MBA 728 for purposes associated with the course and may not be retained or further disseminated. All information in this material is proprietary to Dr. Sung Ik Kim. Scanning, copying, posting to a website or reproducing and sharing in any form is strictly prohibited. THIS CONTENT IS PROTECTED AND MAY NOT BE SHARED, UPLOADED OR DISTRIBUTED. MBA 728 – Fall AP1 2021 Project 3 Due: Sunday, October 10, 11:59 PM CST ※ Using the R script, answer the following questions. Please show all works for full credit. 1. Please use the following instructions. 1) Find 19 stocks you want to research. You can find ticker symbols from Google, Yahoo! Finance, MSN money, and so on (i.e. The ticker symbol of Apple Inc. is “AAPL”). 2) Run the following steps. i. Use the following libraries: library(quantmod) library(tseries) library(xts) ii. From Yahoo! Finance, download daily prices of stocks (from Jan. 1, 2012 to Dec. 31, 2019) you selected to research. i.e. Suppose that you want to download daily stock prices of Apple Inc. whose ticker symbol is “AAPL”. Then, run as follows: getSymbols("AAPL", src="yahoo", from='2012-01-01', to='2019-12-31') iii. Obtain monthly log stock returns for each stock. For example, if you downloaded daily stock prices of Apple, Inc. and Microsoft Corporation, then you will need to run the following: AAPL.rtn <- monthlyreturn(aapl$aapl.adjusted,="" subset="NULL," type='log' ,="" leading="TRUE)" msft.rtn=""><- monthlyreturn(msft$msft.adjusted,="" subset="NULL," type='log' ,="" leading="TRUE)" iv.="" prepare="" your="" data="" containing="" all="" monthly="" log="" stock="" returns="" of="" 19="" stocks,="" and="" assign="" the="" name="" 'myportfolio'="" (please="" refer="" to="" p.="" 11="" on="" ch="" 6="" course="" material="" to="" see="" how="" 'myportfolio'="" should="" look="" like.)="" 3)="" using="" 'myportfolio'="" containing="" monthly="" log="" stock="" returns="" of="" 19="" stocks,="" a)="" [5="" points]="" find="" the="" weights="" of="" mean-variance="" efficient="" portfolio="" (you="" can="" set="" your="" own="" target="" return.).="" please="" highlight="" your="" answer.="" b)="" [10="" points]="" find="" (plot)="" efficient="" frontier.="" ※="" the="" plot="" of="" efficient="" frontier="" should="" be="" legible="" (as="" fancy="" as="" possible).="" ※="" extra="" credit="" (5="" points:="" no="" partial="" credits)="" –="" by="" your="" own="" research="" suppose="" you="" want="" to="" invest="" in="" 17="" stocks="" you="" selected="" above.="" then,="" you="" obtained="" the="" weights="" of="" mean-variance="" efficient="" portfolio="" in="" 3)="" for="" your="" portfolio.="" if="" you="" construct="" your="" portfolio="" in="" 2020="" according="" to="" those="" weights,="" how="" your="" investment="" performance="" would="" be="" in="" 2020?="" this="" material="" is="" only="" for="" the="" use="" of="" students="" enrolled="" in="" mba="" 728="" for="" purposes="" associated="" with="" the="" course="" and="" may="" not="" be="" retained="" or="" further="" disseminated.="" all="" information="" in="" this="" material="" is="" proprietary="" to="" dr.="" sung="" ik="" kim.="" scanning,="" copying,="" posting="" to="" a="" website="" or="" reproducing="" and="" sharing="" in="" any="" form="" is="" strictly="" prohibited.="" 2.="" a="" bond="" price="" is="" the="" present="" value="" of="" all="" future="" cash="" flows="" (coupon="" interest="" every="" year="" and="" par="" value="" at="" time="" to="" maturity)="" as="" shown="" in="" ch="" 7="" course="" material.="" that="" is,="" bond="" price="∑" ×="" _????="" (1="" +="" )?="" =1="" +="" (1="" +="" )?="" ,="" where="" :="" par="" value="" of="" the="" bond="" _????:="" annual="" coupon="" rate="" :="" time="" to="" maturity="" :="" bond="" yield="" a="" function="" to="" calculate="" a="" bond="" price="" is="" presented="" on="" p.="" 5="" in="" ch="" 7="" course="" material.="" as="" you="" can="" see,="" the="" function="" exactly="" illustrates="" the="" equation="" above.="" 1)="" suppose="" you="" have="" to="" find="" coupon="" rate="" when="" you="" know="" all="" other="" variables,="" such="" as="" the="" bond="" price,="" par="" value,="" time="" to="" maturity,="" and="" yield.="" to="" find="" coupon="" rate="" instead="" of="" bond="" price,="" you="" can="" use="" the="" following="" formula="" (if="" you="" solve="" the="" equation="" above="" for="" c_rate,="" you="" can="" easily="" obtain="" this="" formula.).="" c_rate="????" −="" (1="" +="" )?="" ∑="" (1="" +="" )?="" =1="" therefore,="" if="" you="" invest="" in="" a="" bond="" that="" has="" $1,157.449="" of="" current="" bond="" price,="" $1,200="" of="" par="" value,="" 4="" years="" to="" maturity,="" and="" 5%="" of="" yield,="" you="" can="" calculate="" coupon="" rate="" as="" follows:="" #="" create="" time="" t="" t=""><- seq(1,="" 4,="" 1)="" #="" create="" present="" value="" factor="" pv_factor=""><- 1="" (1="" +="" 0.05)^t="" #="" current="" bond="" price="" bond_value=""><- 1157.449="" #="" par="" value="" c_rate=""><- (1157.449="" –="" 1200="" (1+0.05)^4)="" (1200*sum(pv_factor))="" c_rate="" [1]="" 0.0400001="" this="" material="" is="" only="" for="" the="" use="" of="" students="" enrolled="" in="" mba="" 728="" for="" purposes="" associated="" with="" the="" course="" and="" may="" not="" be="" retained="" or="" further="" disseminated.="" all="" information="" in="" this="" material="" is="" proprietary="" to="" dr.="" sung="" ik="" kim.="" scanning,="" copying,="" posting="" to="" a="" website="" or="" reproducing="" and="" sharing="" in="" any="" form="" is="" strictly="" prohibited.="" a)="" [8="" points]="" referring="" to="" the="" codes="" above,="" create="" your="" own="" function="" to="" calculate="" coupon="" rate.="" that="" is,="" you="" have="" to="" complete="" the="" body="" of="" the="" following="" function="" (bond_value:="" current="" bond="" price,="" par:="" par="" value,="" ttm:="" time="" to="" maturity,="" and="" y:="" yield).="" c_rate=""><- function="" (bond_value,="" par,="" ttm,="" y)="" {="" complete="" this="" part="" }="" b)="" [2="" points]="" using="" your="" own="" function="" created="" in="" part="" a),="" calculate="" coupon="" rate="" of="" the="" bond="" with="" bond_value="$1,172.61" par="$1,000" ttm="10" years="" y="6%" 2)="" suppose="" you="" have="" to="" find="" par="" value="" when="" you="" know="" all="" other="" variables,="" such="" as="" the="" bond="" price,="" coupon="" rate,="" time="" to="" maturity,="" and="" yield.="" to="" find="" par="" value="" instead="" of="" bond="" price,="" you="" can="" use="" the="" following="" formula="" (if="" you="" solve="" the="" equation="" above="" for="" par,="" you="" can="" easily="" obtain="" this="" formula.).="" par="Bond" price="" ×="" 1="" ∑="" (1="" +="" )?="" +="" 1="" (1="" +="" )?="" =1="" therefore,="" if="" you="" invest="" in="" a="" bond="" that="" has="" $1,070.919="" of="" current="" bond="" price,="" 7%="" of="" annual="" coupon="" rate,="" 4="" years="" to="" maturity,="" and="" 5%="" of="" yield,="" you="" can="" calculate="" par="" value="" as="" follows:="" #="" create="" time="" t="" t=""><- seq(1,="" 4,="" 1)="" #="" create="" present="" value="" factor="" pv_factor=""><- 1="" (1="" +="" 0.05)^t="" #="" coupon="" rate="" times="" pv_factor="" c_pv_factor=""><- 0.07="" *="" pv_factor="" #="" current="" bond="" price="" bond_value=""><- 1070.919="" #="" par="" value="" par=""><- bond_value="" (sum(c_pv_factor)="" +="" (1="" (1+0.05)^4))="" par="" [1]="" 1000="" this="" material="" is="" only="" for="" the="" use="" of="" students="" enrolled="" in="" mba="" 728="" for="" purposes="" associated="" with="" the="" course="" and="" may="" not="" be="" retained="" or="" further="" disseminated.="" all="" information="" in="" this="" material="" is="" proprietary="" to="" dr.="" sung="" ik="" kim.="" scanning,="" copying,="" posting="" to="" a="" website="" or="" reproducing="" and="" sharing="" in="" any="" form="" is="" strictly="" prohibited.="" a)="" [8="" points]="" referring="" to="" the="" codes="" above,="" create="" your="" own="" function="" to="" calculate="" par="" value.="" that="" is,="" you="" have="" to="" complete="" the="" body="" of="" the="" following="" function="" (bond_value:="" current="" bond="" price,="" c_rate:="" coupon="" rate,="" ttm:="" time="" to="" maturity,="" and="" y:="" yield).="" par=""><- function="" (bond_value,="" c_rate,="" ttm,="" y)="" {="" complete="" this="" part="" }="" b)="" [2="" points]="" using="" your="" own="" function="" created="" in="" part="" a),="" calculate="" par="" value="" of="" the="" bond="" with="" bond_value="$1,319.8278" c_rate="5%" ttm="13" years="" y="4%" 3.="" in="" chapter="" 8,="" you="" can="" find="" how="" to="" calculate="" call="" and="" put="" option="" price="" by="" using="" black-scholes="" option="" pricing="" model.="" a)="" [12="" points]="" create="" your="" own="" function="" to="" calculate="" put="" option="" price.="" that="" is,="" you="" have="" to="" complete="" the="" body="" of="" the="" following="" function="" (s0:="" current="" stock="" price,="" k:="" strike="" price,="" r:="" risk-free="" rate,="" t:="" remaining="" time="" to="" maturity,="" and="" sigma:="" standard="" deviation="" of="" underlying="" stock="" price).="" put=""><- function (s0, k, r, t, sigma) { complete this part } b) [3 points] using your own function created in part a), calculate put option price with s0 = $1,000 k = $850 r = 3% t = 3 years sigma = 23% this material is only for the use of students enrolled in mba 728 for purposes associated with the course and may not be retained or further disseminated. all information in this material is proprietary to dr. sung ik kim. scanning, copying, posting to a website or reproducing and sharing in any form is strictly prohibited. #1 #question 1 # calling required packages function="" (s0,="" k,="" r,="" t,="" sigma)="" {="" complete="" this="" part="" }="" b)="" [3="" points]="" using="" your="" own="" function="" created="" in="" part="" a),="" calculate="" put="" option="" price="" with="" s0="$1,000" k="$850" r="3%" t="3" years="" sigma="23%" this="" material="" is="" only="" for="" the="" use="" of="" students="" enrolled="" in="" mba="" 728="" for="" purposes="" associated="" with="" the="" course="" and="" may="" not="" be="" retained="" or="" further="" disseminated.="" all="" information="" in="" this="" material="" is="" proprietary="" to="" dr.="" sung="" ik="" kim.="" scanning,="" copying,="" posting="" to="" a="" website="" or="" reproducing="" and="" sharing="" in="" any="" form="" is="" strictly="" prohibited.="" #1="" #question="" 1="" #="" calling="" required="">