In the base market:

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

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

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

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

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

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

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

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

Repeat 1-8 in an international setting. Compare the performance of the domestic with the performance of the international optimal portfolio

Repeat 1-8 but now use Futures to hedge the currency risk

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:

Average return and standard deviation of returns

Sharpe ratio

Downside Sharpe

U-P ratio

Return Loss