Find optimal portfolios (weights) - the one with minimal variance (MVP) and maximum Sharp ratio (MSP).

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

This project is on Portfolio optimisation and forecasting

1. Choose some assets (5-10) of your interest, possibly from different classes (shares, currencies, ETFs, metals). Either - download time series of these asset(s) prices in csv format, or use API to automatise the download directly in your Jupyter notebook (in the way we have experimented with stooq.com)

2. Present your data graphically, compare performance of these assets in different time horizons. (I.e. last year, last 2 years, last 5 years). Show histograms of rate of return on these assets and check if the distribution is normal or not, assuming some level of confidence of your choice.

3. Find optimal portfolios (weights) - the one with minimal variance (MVP) and maximum Sharp ratio (MSP). Experiment with different time horizons (as in the point above).

Comment on your results. [We assume short selling is not allowed]. The code you write may be based on the code we had used in the classroom when talking about Markowitz Theory.

4. Try to forecast prices of your selected assets for the next 3 months. Take the weights

Attachments:

Related Questions

. The fundamental operations of create, read, update, and delete (CRUD) in either Python or Java

CS 340 Milestone One Guidelines and Rubric  Overview: For this assignment, you will implement the fundamental operations of create, read, update,

. Develop a program to emulate a purchase transaction at a retail store. This  program will have two classes, a LineItem class and a Transaction class

Retail Transaction Programming Project  Project Requirements:  Develop a program to emulate a purchase transaction at a retail store. This

. The following program contains five errors. Identify the errors and fix them

7COM1028   Secure Systems Programming   Referral Coursework: Secure

. Accepts the following from a user: Item Name Item Quantity Item Price Allows the user to create a file to store the sales receipt contents

Create a GUI program that:Accepts the following from a user:Item NameItem QuantityItem PriceAllows the user to create a file to store the sales receip

. The final project will encompass developing a web service using a software stack and implementing an industry-standard interface. Regardless of whether you choose to pursue application development goals as a pure developer or as a software engineer

CS 340 Final Project Guidelines and Rubric  Overview The final project will encompass developing a web service using a software stack and impleme