Upload your solution paper in DigiEx by Thursday, October 3, 12:00 p.m. (at noon). Your solution paper may have up to eight pages plus an appendix containing all the code (with clarifying comments) you used to produce your results.
finance
Description
Upload your solution paper in DigiEx by Thursday, October 3, 12:00 p.m. (at noon). Your solution paper may have up to eight pages plus an appendix containing all the code (with clarifying comments) you used to produce your results. The appendix has to be uploaded as a separate attachment (as a pdf file) and does not count towards the eight pages. For your solution paper, please use the standard BI template paper, and stick to the default font style, font size, line spacing, margins, etc. The template paper is available for downloading here. Please note that I will not respond to any individual emails, messages etc. If you have questions or want me to clarify something, please post a thread in the discussion forum I have created on itslearning.
Total assignment points (100 points)
1. Follow the steps outlined in Appendices A and B and download the monthly return time series for the following assets:
• U.S. stock market index, and
• U.S. Treasury bills maturing in three months.1 Produce two separate plots:
• First, generate one plot containing the monthly log return time series of both assets from January 1934 to December 2018.
• Second, suppose you invest 1$ at the end of December 1933 in each asset and hold it until
the end of December 2018. Generate a plot which shows how your initial investment of 1$
evolves over time.
Save both plots (e.g., as pdf file) and put them into your solution paper. Take a close look at
both graphs. What do you learn from this about the returns across both asset classes?
