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...

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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 AP21 2021 Project 4 Due: Thursday, October 14, 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. The instructions indicate how to download daily stock price of General Electric Company from 2010-01-01 to 2020-12-31 from Yahoo! Finance and how to convert it to daily log return. library(quantmod) getSymbols("GE", src = "yahoo", from='2010-01-01', to='2020-12-31') GE.Adj <- ge$ge.adjusted="" logreturns=""><- diff(log(ge.adj))="" logreturns=""><- logreturns[-1,] a) [7 points] assuming that the daily log returns for general electric company follow normal distribution, estimate 95% var. b) [7 points] estimate 95% es based on the sample distribution. - continued on next page - 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. ※ no need to use r for this question. please type the answer. please show all works for full credit. 2. the probability density function (pdf) for daily profits at lsus inc. can be described by the following piecewise function (see figure below), p = 8 100 for −10 ≤ π ≤ 0 p = 2 100 for 0 ≤ π ≤ +10 p 8 100 2 100 -10 0 +10 ? a) [8 points] what is the one-day 99% var for lsus inc.? b) [8 points] what is the one-day 99% es for lsus inc.? project 4 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 ‘logreturns’: -8 pts a) incorrectly estimated var based on normal distribution: -3 pts not 95% var: -1 pt b) incorrectly estimated es based on sample distribution: -3 pts not 95% es: -1 pt 2. a) incorrect equation: -3 pts correct equation but wrong answer: -1 pt b) incorrect equation: -3 pts correct equation but wrong answer: -1 pt logreturns[-1,]="" a)="" [7="" points]="" assuming="" that="" the="" daily="" log="" returns="" for="" general="" electric="" company="" follow="" normal="" distribution,="" estimate="" 95%="" var.="" b)="" [7="" points]="" estimate="" 95%="" es="" based="" on="" the="" sample="" distribution.="" -="" continued="" on="" next="" page="" -="" 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.="" ※="" no="" need="" to="" use="" r="" for="" this="" question.="" please="" type="" the="" answer.="" please="" show="" all="" works="" for="" full="" credit.="" 2.="" the="" probability="" density="" function="" (pdf)="" for="" daily="" profits="" at="" lsus="" inc.="" can="" be="" described="" by="" the="" following="" piecewise="" function="" (see="" figure="" below),="" p="8" 100="" for="" −10="" ≤="" π="" ≤="" 0="" p="2" 100="" for="" 0="" ≤="" π="" ≤="" +10="" p="" 8="" 100="" 2="" 100="" -10="" 0="" +10="" a)="" [8="" points]="" what="" is="" the="" one-day="" 99%="" var="" for="" lsus="" inc.?="" b)="" [8="" points]="" what="" is="" the="" one-day="" 99%="" es="" for="" lsus="" inc.?="" project="" 4="" 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="" ‘logreturns’:="" -8="" pts="" a)="" incorrectly="" estimated="" var="" based="" on="" normal="" distribution:="" -3="" pts="" not="" 95%="" var:="" -1="" pt="" b)="" incorrectly="" estimated="" es="" based="" on="" sample="" distribution:="" -3="" pts="" not="" 95%="" es:="" -1="" pt="" 2.="" a)="" incorrect="" equation:="" -3="" pts="" correct="" equation="" but="" wrong="" answer:="" -1="" pt="" b)="" incorrect="" equation:="" -3="" pts="" correct="" equation="" but="" wrong="" answer:="" -1="">