Assignment 2: Capital Asset Pricing Model
Capital Asset Pricing ModelmfundsRPythonReturn of Market Portfolio
Assignment 2
Under the Capital Asset Pricing Model assumption it follows that
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E(Ri − Rf ) = βi E(Rm − Rf )
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or equivalently
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E(Ri − Rf ) = αi + βi E(Rm − Rf )
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with αi = 0, where Rf is the risk-free return, Rm is the return of the market portfolio,
Ri is the return of a generic asset and βi is the beta of the asset.
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Use the dataset "mfunds" to estimate the following regression
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R − Rf = α + β(Rm − Rf ) + ε
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where Rf is the return of the tresury bill (column tbill) and Rm is the return of the
market portfolio (column mkt). R is an asset return of your choice amongst the other
returns in the dataset.
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