Portfolio Optimization

Short project about using financial risk management tools to optimize a portfolio. The goal is to manipulate financial data, implement an investment strategy through various optimization processes. We analyszed the strategy with respect to risk and performance. You can find the report we submitted, the data set we used to retrace the S&P300, the code to do so, as well as the code for implementing utility function $U(\omega_t)=\hat\mu_t^\top\omega_t-\psi \| \omega_t-\omega_{t-1}\|_{\ell^1(\mathbb{R}^d)}$ optimization. More details can be found in the report.