ISE 529 Predictive Analytics Homework 3
ISE 529作业代写 ISE 529 Predictive Analytics Homework 3 ：1.(30 pts)You are interested in estimating the relationship (and their strength) between two variables.
Due online on September 25, 2020 by 1 p.m., on Blackboard
1.(30 pts) ISE 529作业代写
You are interested in estimating the relationship (and their strength) between two variables.
a) The covariance of these two variables has been calculated to be -150. What does it tell about the relationship between the two variables?
b) In addition, you have learned that the two sample standard deviations are 16 and 12. Calcu-late the coeffiffifficient of correlation. What does it tell about the relationship between the two variables?
c) Calculate the coeffiffifficient of determination. Describe what does it say about the relationship between the two variables.
2.(40 pts) ISE 529作业代写
Read the fifile The Market Model before solving this exercise.
In https://finance.yahoo.com/quote/IBM/key-statistics/ it is shown that the 5-year IBM Beta is 1.17. Use the pandas_datareader library to download monthly Stock prices for IBM from Sep 9th 2018 to Sep 9th 2020, and monthly prices for the S&P 500 (use ticker symbol^GSPC). It is fifine if you get monthly prices from Oct 1st 2018 to Sep 1st 2020.
a) Find monthly net returns (use Close values). Include them in your report.
b) Find the OLS line to estimate the linear relationship between these returns. Include the regression equation found. Interpret the Beta of IBM.
c) What is the proportion of IBM total risk that is market-related?
d) Create a scatterplot of IBM (y-axis) vs. GSPC (x-axis) monthly returns with the fifitted equation.
3.(30 pts) ISE 529作业代写
Create an investment portfolio with the stocks of BA, CAT, IBM (1/3 on each company). Download monthly Stock prices from Sep 9th 2018 to Sep 9th 2020.
a) Find and interpret the portfolio’s Beta.
b) Find monthly net returns for the portfolio and of each stock.
c) What is the proportion of the portfolio’s total risk that is market-related?
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