Assignments
Assignments
Click on an assignment to download the PDF.
Assignment 1: Rice Database and Technical Indicators
| Exercise | ||
|---|---|---|
| A | Build and Explore Price Data | |
| B | Moving Averages | |
| C | Momentum and Lagged Return | |
| D | Momentum Decile Portfolios |
Assignment 2: Fundamental Indicators and Merging
| Exercise | ||
|---|---|---|
| A | Build the Monthly Returns Dataset | |
| B | Fetch and Compute Fundamentals | |
| C | Data Quality Checks | |
| D | Size and Value Sorts |
Assignment 3: Machine Learning for Return Prediction
| Exercise | ||
|---|---|---|
| A | Cross-Sectional Standardization | |
| B | Linear Models (Ridge and Lasso) | |
| C | Tree-Based Models | |
| D | Prediction Quality Over Time |
Assignment 4: Rolling Windows for Train/Test
| Exercise | ||
|---|---|---|
| A | Expanding-Window Backtest | |
| B | Rolling-Window Backtest | |
| C | Monthly Spearman Rank Correlation | |
| D | Time-Series Cross-Validation |
Assignment 5: Portfolio Construction and Evaluation
| Exercise | ||
|---|---|---|
| A | Sort-Based Portfolios | |
| B | Smooth Weight Functions | |
| C | Score-Tilted Market-Cap Weights | |
| D | CAPM Alpha and Information Ratio |
Assignment 6: Costs, Risk, and Drawdowns
| Exercise | ||
|---|---|---|
| A | Turnover and Transaction Cost Analysis | |
| B | Drawdown Analysis | |
| C | Alternative Weighting Schemes | |
| D | Ledoit-Wolf Shrinkage and Minimum-Variance Portfolios |