Demonstrate implementation of the model in R. This includes showing high beta as well as low beta stocks in the portfolio; explaining rules used for stock selection; building accounting functions that can automatically report daily VaR and various balance sheet items relate to financial reporting.
According to Frazzini and Pedersen (2014) “Betting against beta”: High-beta assets are generally over-priced and low-beta assets are under-priced. A trading strategy to capture this opportunity is to short high-beta stocks in the meantime long low-beta stocks. The strategy can be self-financed and involves holding a zero-beta portfolio. Constructing this portfolio involves two steps: 1. … Read more