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Financial portfolio selection using the multifactor capital asset pricing model and imported options data

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  • Mehmet F. Dicle

    (Loyola University New Orleans)

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. Copyright 2013 by StataCorp LP.

Suggested Citation

  • Mehmet F. Dicle, 2013. "Financial portfolio selection using the multifactor capital asset pricing model and imported options data," Stata Journal, StataCorp LP, vol. 13(3), pages 603-617, September.
    • Handle: RePEc:tsj:stataj:v:13:y:2013:i:3:p:603-617
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    Cited by:

    1. Akhilesh KUMAR & Mohammad SHAHID, 2021. "Portfolio selection problem: Issues, challenges and future prospectus," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(629), W), pages 71-90, Winter.

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