Financial portfolio selection using the multifactor capital asset pricing model and imported options data

• Autores: Mehmet F. Dicle
• Localización: The Stata journal, ISSN 1536-867X, Vol. 13, Nº. 3, 2013, págs. 603-617
• Idioma: inglés
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• Resumen

  • Diversification and portfolio selection are integral parts of a finance curriculum. In this article, a multifactor capital asset pricing model is fit for components of the Dow Jones Composite Index using data from Yahoo! Finance. Along with the capital asset pricing model�s Beta, other statistics that are common criteria for portfolio selection are calculated: historic standard deviation (total risk), total return, average daily return, and Sharpe and Treynor measures. Two new commands are introduced, fetchcomponents and fetchportfolio, that automate the entire process. A third new command, fetchyahoooptions, is provided to download and parse equity options data from Yahoo! Finance webpages and, optionally, to calculate the implied volatilities for the downloaded options.