The goal of this project was to form portfolios using five different variations of Mean-Variance Optimization(MVO), as well as Conditonal Value at Risk(CVaR) with Monte Carlo. We analysed different investment strategies on 20 stocks U.S. S&P500 between 2012 and 2015.
The five models are:
- MVO
- Robust MVO
- Resampling MVO
- Most-Diverse MVO
- Conditional Value at Risk