Herron Topic 4 - Practice Blank

FINA 6333 for Spring 2024

1 Announcements

2 Practice

2.1 Find the maximum Sharpe Ratio portfolio of MATANA stocks over the last three years

Note that sco.minimize() finds minimums, so you need to minimize the negative Sharpe Ratio.

2.2 Find the maximum Sharpe Ratio portfolio of MATANA stocks over the last three years, but allow short weights up to 10% on each stock

2.3 Find the maximum Sharpe Ratio portfolio of MATANA stocks over the last three years, but allow total short weights of up to 30%

2.4 Find the maximum Sharpe Ratio portfolio of MATANA stocks over the last three years, but do not allow any weight to exceed 30% in magnitude

2.5 Find the minimum 95% Value at Risk (Var) portfolio of MATANA stocks over the last three years

More on VaR here.

2.6 Find the minimum maximum draw down portfolio of MATANA stocks over the last three years

2.7 Find the minimum maximum draw down portfolio with all available data for the current Dow-Jones Industrial Average (DJIA) stocks

You can find the DJIA tickers on Wikipedia.

2.8 Plot the (mean-variance) efficient frontier with all available data for the current the DJIA stocks

2.9 Find the maximum Sharpe Ratio portfolio with all available data for the current the DJIA stocks

2.10 Compare the \(\frac{1}{n}\) and maximum Sharpe Ratio portfolios with all available data for the current DJIA stocks

Use all but the last 252 trading days to estimate the maximum Sharpe Ratio portfolio weights. Then use the last 252 trading days of data to compare the \(\frac{1}{n}\) maximum Sharpe Ratio portfolios.