如今需要完成一份作业，是关于投资组合的实证，不难，

但要求需要用Gauss编程，只需要把程序和结果上交，

不需要论文。薪酬300。价格可再商量

    有意者请联系QQ125881172    email：125881172@qq.com

1. (15 points) Test the RW1 hypothesis for the value-weighted and equal-weighted returns on
the market portfolio.
2. (15 points) Test the RW3 hypothesis for the value-weighted and equal-weighted returns on
the market portfolio.
3. (10 points) Test the CAPM for each of the decile portfolios and check for the size effect
(i.e., that low market capitalization firms have higher sample mean returns than would be
expected if the market portfolio was mean-variance efficient).
4. (15 points) Test the CAPM for 10 industry portfolios using ML. Use the Wald statistic to
test the null hypothesis.
5. (15 points) Apply the Fama-MacBeth cross-sectional regression approach to test the CAPM
for 10 industry portfolios.
6. (10 points) Estimate the consumption-based CAPM corresponding to the utility function, in
which an agent is assumed to derive utility from the difference of his current period
consumption and his previous period consumption.
The files contain the following monthly information (data are not inflation-adjusted):
Industry.txt the returns on 10 industry portfolios
Deciles.txt the returns on decile portfolios (1st decile is in column 2,..., 10th decile is in
column 11)
Market.txt the returns on the value-weighted (column 2) and equal-weighted (column 3)
market portfolios
RFree.txt the risk-free return
Infl.txt the inflation rate
Cons.txt aggregate per capita consumption

[此贴子已经被作者于2009-3-23 20:53:20编辑过]