CAPM.data: CAPM data estimation

In gabrielebonvicini/plotFin: Plot financial graphs

CAPM data estimation

Description

CAPM Capital Asset Pricing Model is a concept based on an equation that describes the relationship between the expected value of the returns and the risk of investing in a security that is indicated by the Beta of the returns and the risk free rate. So, the market risk premium indicates how much the underlying assest returns differ from the risk-free rate. Negative Risk Premium tells us that the investment is a bad one thus you should invest in the rf stock or another asset. The Capital Market line makes a relation between all the optimal combined portfolios of risky assets with the risk free asset. The CML also is the only track permitted to a portfolio that outperforms the efficient frontier, therefore there cannot be portfolios that use the same asset above the Capital Market Line. As a consequence, the slope of the Capital Market Line defines the Sharpe ratio namely the average of the excess returns of the risk free per the volatility of the portfolio excess returns, Sharpe Ratio=(Rp???Rf)/??p. The Security Market line shows the movements of the CAPM against any expected return of the entire market.

Usage

CAPM.data(ticker, from, to, risk_free)

Arguments

ticker	A single character variable storing the tickers of the stocks of which you want the the data. Note that since data are downloaded from Yahoo finance, the ticker should be the same as the ones reported on Yahoo finance. See examples.
from	A single character variable storing the starting date from which we want to download the data. The format should be "yyyy-mm-dd"
to	A single character variable storing the ending date from which we want to download the data. The format should be "yyyy-mm-dd"
risk_free	Numerical variable of length one. It indicates the risk free rate

Examples

## Not run: 
risk_free <- 0.78
ticker <- "MSFT"
from <-"2015-01-01"
to <- "2020-01-01"
CAPM.data(ticker = ticker, from, to , risk_free = risk_free)

## End(Not run)

gabrielebonvicini/plotFin documentation built on Oct. 11, 2023, 1:36 a.m.