- Applied Modern Portfolio Theory to determine optimal asset allocation considering given assets, correlation matrix, and constraints.
- Utilized both linear algebra and numerical techniques to assess portfolio risk and compute the Value At Risk (VAR).
- Conducted backtesting on the 10-day VAR model of NASDAQ stock returns, identifying breaches in the results.
- Acknowledged challenges in modeling correlation matrices in practical scenarios and assumed normally distributed returns.
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View Code? Open in Web Editor NEWTheoretical application of morden portfolio theory by Harry Markowitz.
License: Apache License 2.0