Portfolio allocation project – Investment Universe and portfolio allocation or O
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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