/PortoflioOptimization5Models

This project analyses 5 different portfolio optimization models: MVO, Robust MVO, Resampling MVO, Most-Diverse MVO, and Conditional Value at Risk

Primary LanguageMATLAB

PortoflioOptimization5Models

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:

  1. MVO
  2. Robust MVO
  3. Resampling MVO
  4. Most-Diverse MVO
  5. Conditional Value at Risk