1. The 1/N portfolio Construct an equally weighted portfolio.

 

2. Construct an equally weighted portfolio of the 10 assets with the highest and positive Jensen's alpha.

3. Construct a portfolio where you go long in the stocks with the highest and positive Jensen's alpha, and short in the stocks with the lowest negative alpha

4. Construct a momentum portfolio where you invest in stocks with positive returns over the last 3 months

5. Construct a portfolio where you go long in the stocks with positive returns over the last 3 months, and short in the stocks with negative returns over the last 3 months

6. Construct an equally weighted portfolio of the 10 assets with the lowest beta.

7. Construct a portfolio where you go long in the stocks with the lowest beta, and short in the stocks with the highest beta

8. Using the CvaR or MAD risk measure, conduct both static tests (efficient frontiers) as well as dynamic tests.

Compare the performance of the optimal portfolios. In all cases conduct backtesting experiments over the last 36 months.

Compare the performance of portfolios both graphically, as well as using the following parametric performance measures:

a) Average return and standard deviation of returns

b) Sharpe ratio

c) U-P ratio.

Describe the related Figures and Tables

MARKET	S&P 500
MODEL	Mean-MAD

https://moodle.ipag.fr/pluginfile.php/1194811/mod_resource/content/1/returnsFTSE.txt

https://moodle.ipag.fr/pluginfile.php/1194810/mod_resource/content/1/MAD.gms

https://moodle.ipag.fr/pluginfile.php/1194809/mod_resource/content/1/CVaR.gms