How the weights within the portfolios are distributed

Assignment Help Portfolio Management

Reference no: EM131086706

Detailed Question: I would like to optimize a portfolio consisting of round about 30 dax companies (i use a time series of monthly closing prices over 10 years) using 3 different risk measures: benchmark is the mean variance portfolio optimization from Markowitz compared to mean- lower partial moments portfolio optimization and mean - value at risk portfolio optimization. I would like to configure the optimization model in sample with the historical data and compare the performances of them out of sample.

What I need are efficient frontiers from each of the optimization models, comparison of the performances from the out of sample test and comparison of how the weights within the portfolios are distributed.

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Reference no: EM131086706

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