Portfolio Optimization of Major Tech Stocks: Markowitz, Sharpe Ratio, VaR & CAPM
This project implements a stochastic approach to investment portfolio optimization using key performance indicators (KPIs) and financial models to maximize the Return/Risk Ratio (RRR). The focus is on constructing and comparing the following portfolios for major tech growth stocks (NVDA, META, AMZN, AAPL):
• Max Sharpe Ratio Portfolio
• Min Value at Risk (VaR) Portfolio
• Min Volatility Portfolio
Key Features
• Markowitz Efficient Frontier: Utilizing historical data to construct optimal portfolios.
• Monte Carlo Simulations: Generating random portfolios to identify optimal asset allocations.
• CAPM Line Analysis: Calculating Alpha and Beta for monthly returns.
• Data Visualization: Plotting efficient frontiers, VaR, and Sharpe ratios for easy interpretation.