Question: Portfolio Correlation Exercise4-3.xlsx contains data for the weekly changes in Bitcoin prices (BTC) and the Dow Jones Industrial Average (DJI) over the decade of 20102019.

Portfolio Correlation Exercise4-3.xlsx contains data for the weekly changes in Bitcoin prices (BTC) and the Dow Jones Industrial Average (DJI) over the decade of 2010–2019.

a. Fit a distribution for each index’s weekly price change and a parametric copula for the relationship between the two. Use the (lowest) AIC score to choose the distributions and copula that fits best.

b. Simulate the weekly results for each index over 4 weeks.

c. Simulate a $100 investment in BTC, a $100 investment in the DJI, and a portfolio of $50 invested in each. Compare (and explain)

the expected returns and probabilities of losing money for each of these three investments over a 4-week period.

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