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Engineering · Studypool

Portfolio Optimization Worksheet

Overview

1. Select a total of 10 assets to form a virtual portfolio (simply describe the reasons or conditions for selection)

2. Derivation of each average return and covariance (describe how it was derived)

3. Based on the methodology learned in class, take the next 10 years as a period, model portfolio optimization, and calculate expected returns using tools such as Excel, Python, and matlab

4. Results of testing with historical data