Financial Modeling Portfolio Optimisation
Budget: $10 – $30 USD
1. finding the weights of the stocks in the minimum variance portfolio and the market portfolio, allowing for and restricting short selling. Students have to comment whether these weights are practical as investments.
2. dividing the dataset into 2 parts (in-sample and an out-of-sample) and investigating whether the minimum variance portfolio or the market portfolio performs better on a risk-adjusted basis. Application is extended to an equally weighted portfolio and a market capitalization weighted portfolio.
2. dividing the dataset into 2 parts (in-sample and an out-of-sample) and investigating whether the minimum variance portfolio or the market portfolio performs better on a risk-adjusted basis. Application is extended to an equally weighted portfolio and a market capitalization weighted portfolio.