Portfolio allocation project – Investment Universe and portfolio allocation or Option Pricing
Min 5 assets
Produce forecast of expected returns and covariance matrix. Mean variance portfolio
Examples
Time series
Factor modelling – Fama French of other approaches
Data sources
Yahoo Finance
Quandl
Kaggle – https://www.kaggle.com/c/the-winton-stock-market-challenge
2 sigma – https://www.kaggle.com/c/two-sigma-financial-modeling/overview
Produce an abstract
10 pages
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Portfolio allocation project – Investment Universe and portfolio allocation or O