292:")), silent = TRUE), "try-error")) { start <- strftime(as.POSIXlt(Sys.time() - nDs*24*3600), format="%Y-%m-%d") end <- strftime(as.POSIXlt(Sys.time()), format = "%Y-%m-%d") x <- get.hist.quote(instrument=inst, start=start, end=end, quote = c("AdjClose"), compression="m", quiet=T, retclass="zoo") } return(x) } yield=2.9 nDays=1042 comp<-c("^DJI", "AA", "AIG", "AXP", "BA", "C", "CAT", "DD", "DIS", "GE", "GM", "HD", "HON", "HPQ", "IBM", "INTC", "JNJ", "JPM", "KO", "MCD", "MMM", "MO", "MRK", "MSFT", "PFE", "PG", "T", "UTX", "VZ", "WMT", "XOM") comp.quote<-quote(comp,nDays) from= as.Date(index(comp.quote),format="%Y-%m-%d") to= as.Date(index(comp.quote),1]),format="%Y-%m-%d") for (c in 2:length(comp)) { comp.quote<-merge(comp.quote,quote(comp,nDays)) } rdt<-12*diff(comp.quote)/comp.quote*100 points=array(NA,dim=c(length(comp),2)) for (p in 1:length(comp)) { points= cov(rdt,rdt)/var(rdt) points=mean(rdt) } devSVG(file="CAPM-SML.svg", width=10, height=8, bg="transparent", fg="black", onefile=TRUE, xmlHeader=TRUE) par(lwd=2) plot(points,type="p",col="blue",xlab="beta",ylab="return (in % p.a.)",main="CAPM: Security Market Line",xlim=range(0,points)) lines(points,points,col="red",type="p") abline(a=yield,b=points-yield,col="purple") text(points,points,comp,pos=3,col="blue") text(points, points, comp,pos=3,col="red") lm1<-lm(points~points) abline(lm1,col="darkgrey",lwd=1) text(x=par("usr"), y=par("usr")+0.5, labels=paste("Dow Jones monthly data from", format.Date(from,"%d %b %Y"), "to", format.Date(to,"%d %b %Y"),""), col="grey",adj=c(1,0) ) grid(lwd=1) dev.off()
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782:{{Information| |Description = dow jones index and it's 30 stocks: the CAPM and the security market line (purple). the grey line is the linear model. mean yield is assumed to be 2.9% |Source = data by quote.yahoo, atomatically retrieved with GNU R, see gra
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dow jones index and it's 30 stocks: the CAPM and the security market line (purple). the grey line is the linear model. mean yield is assumed to be 2.9%
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data by quote.yahoo, atomatically retrieved with GNU R, see graph source below
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Principles of
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