Portfolio Optimization On Downside Risk Using Matlab + Analysis
$750-1500 USD
Closed
Posted about 7 years ago
$750-1500 USD
Paid on delivery
I'm looking for someone who is well versed in using matlab and handling optimization approaches to code and write a detailed analysis. If you believe that you are the right person, feel free to apply. Please ensure that the codes contain comments as this will be used as a case study for students.
First part: Collect adjusted close price daily data from Yahoo Finance from 10 securities - pple, Exxon Mobil, General Electric, J.P Morgan, Microsoft, Amazon, Dow Jones Industrial Average, Boeing, S&P 500 and US Aggregate Bond and convert to monthly log returns. Data collected from 01 Jan 2004 to 31st Dec 2016. Plot time series of returns for each security and check on persistence
Second part: Create Matlab Codes for the following optimization approaches - Mean Variance Optimization, Conditional Value At Risk (CVaR), Conditional Drawdown At Risk (CDaR), Partitioned Value At Risk (PVaR), Coherent Partitioned Value At Risk (CPVaR).
Following assumptions: No Transaction Cost, No Limitations on the amount of asset that can be held, no limitations on the amount that can be short sell. The weights of all returns must be equal to 1.
Three investing strategies - minimum variance with no targeted return constraint, minimum variance with targeted return 15% constraint and maximum return. These will be split into conservative, moderate and aggressive investors.
For CVaR, PVaR, CPVaR and CDaR, confidence level will be taken as 95%. The codes must be able to generate the optimal weights. For each risk measure, plot efficient frontiers for all three investing strategies in one graph (5 graphs). Then, plot efficient frontiers for each investing strategies in one graph. (3 graphs)
Third part: Create Matlab Codes For Out of Sample Rebalancing. Plot graphs of all historical trajectories of optimal portfolio for each investing strategy.
Create tables for each investing strategy and obtain terminal values, average return and average risk for each risk measure.
For mixed rebalancing, the interval will be changed to six months instead of five months.
If you have any questions, feel free to let me know. An analysis will be required after producing codes and graphs. Please kindly read through the reference papers that I've provided and see if it's something within your ability. Deadline is 18th Feb 2017. Let me know if you are able to meet the deadline.
Cheers,
Jerome
Dear,
I have already read your job post in carefully and understood it well.
I have good and full experiences on mathematics and algorithm, computation, numerical analysis, digital image processing using C/C++, Matlab for 10+ years and I had worked on many matlab project before.
So, I can complete your project within your timeline, finely.
Please let me know about your project detail and inform me.
I am waiting for your good reply.
Thanks and regards,
Xie
Hello! Being one of the most experienced Statistician/Mathematician on this website with around half thousand excellent reviews and proven track record, I would love to work on this project. I am experienced data analyst also familiar with almost all statistical softwares including SPSS, R, Stata, Eviews, Matlab, Mathematica, SAS, Weka, Minitab and Matlab etc. Please reply back to discuss further. Thank you!
Dear Valued Employer,
I can add value to your project, by suggesting new ideas. I am fast and reliable. For further understanding why I am the right firm for your project, kindly check my profile, reviews, rating and portfolio. With over 8 years of cross-functional experience, and helping clients world wide with diversify team, I provide genuine and innovative solutions as per your circumstances and requirements.
I am MBA-Finance, M.A-Economics, and Qualified Chartered Accountant.
If you feel to discuss more before you award me the project, you can send me the message.
Kind regards,
Rakesh
Hello I work as a financial analyst. I will help you with the decision of this task. My education finance manager. My experience for about 10 years.
I can do its in R
Hi, waiting for your message so that we can have a discussion about this. we can do this work easily. we will give our 100% if not 100% MONEY BACK GUARANTEE
First of all i want to tell you that I am expert writer, good designer , engineer and programmer. Don’t think that I am new in freelancing. I am sure i can do your task better than any other person. you will get 100% accurate work before deadline. I will provide quality work on low budget. kindly award me this project. thanks in advance.
Bonjour Jérôme. Je suis docteur en physique et j'ai suivi plusieurs cours en ingenierie financière. Je suis expert en Matlab et Python, et je peux même coder certaines parties plus exigeantes en temps de calcul en C.