012-week-2-quiz.ipynb

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      "/home/jovyan/work/edhec_risk_kit.py:174: UserWarning: Could not infer format, so each element will be parsed individually, falling back to `dateutil`. To ensure parsing is consistent and as-expected, please specify a format.\n",
      "  ind = pd.read_csv(\"data/ind30_m_vw_rets.csv\", header=0, index_col=0, parse_dates=True) / 100\n"
     ]
    }
   ],
   "source": [
    "%load_ext autoreload\n",
    "%autoreload 2\n",
    "%matplotlib inline\n",
    "import edhec_risk_kit as erk\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "\n",
    "ind = erk.get_ind_returns()\n",
    "er = erk.annualize_rets(ind[\"2000\":], 12)\n",
    "cov = ind[\"2000\":].cov()"
   ]
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       "Food     0.068226\n",
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       "Smoke    0.084150\n",
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       "Coal     0.167033\n",
       "Oil      0.090237\n",
       "Util     0.081711\n",
       "Telcm    0.067026\n",
       "Servs    0.124616\n",
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   ],
   "source": [
    "erk.var_gaussian(ind)"
   ]
  },
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   "execution_count": null,
   "id": "1368c1fa",
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   "outputs": [],
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