Financial portfolio selection using the multifactor capital asset pricing model and imported options data
Abstract. 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.
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Mehmet F. Dicle
View all articles with these keywords:
fetchcomponents, fetchportfolio, fetchyahoooptions, finance, financial data, multifactor capital asset pricing model, Beta, diversification, portfolio selection, Sharpe, Treynor, options, implied volatility
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