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Question: The aim of this project is to come up with a model/algorithm to produce predictions on T1_RETURN using the available information. You are expected to use said predictions to form a portfolio that will then be evaluated according to Information Ratio. Just to get you started, we are sharing an R Script on how to test the performance of the final portfolio.
Although R is preferred, you can use the programming language that you are most comfortable with. Please use some machine learning or econometric modeling techniques and create as many models as you like! As an output, you are asked to provide:
- A short report on what you have done together with some results and conclusions, including a performance comparison among the models you propose, using Information Ratio as a metric.
- The source code used for producing your analysis and results.
Verified Expert
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