This project is a synthesization of material from the course GU5261 Statistical Methods in Finance.
I used ten assets: AAPL, AMZN, BAC, FB, GOOG, IBM, JPM, MSFT, TGT, WMT with their monthly closing prices
from 11/1/2013 to 11/1/2018. Also, I used risk free rates from https://fred.stlouisfed.org/series/TB4WK.
Here is the agenda of the project:
- Summary
- Descriptive Statistics
- Portfolio Theory
- Asset Allocation
- Principal Component Analysis
- Risk Management
- Copulas
- Conclusion