September – December 2023 Project 1

Business & Finance

Optimal Risky Portfolio and DiversificationSummary:The project asks student to pick 5 corporations and use daily returns in August 2017 to form expectations on average returns and covariances for September. Based on the expectations, an optimal risky portfolio is constructed to be held through the September. Then use the actual returns in September to calculate the actual Sharpe of the portfolio and study whey the actual one is different from the expected Sharpe.Instructions attached.

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