This Financial Mathematics case study aims to analyse a portfolio of seven selected stocks, including their:
The portfolio will be optimized for a target return using an appropriate solver function, and the efficient frontier curve will be plotted.
The Sharpe ratios will be calculated using a risk-free investment, and the equation of the Capital Market Line will be determined.
Linear regression analysis used to calculate the beta of each asset in the portfolio and to estimate the Value at Risk (VaR) of the portfolio.
The volatility of a single asset in the portfolio will be estimated using ARCH/GARCH models, and the best model identified.