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smart-beta-portfolio-optimization's Introduction

Smart Beta and Portfolio Optimization

Udacity - AI for Trading Nanodegree Program

Project Overview

  • Build a smart beta portfolio and compare it to a benchmark index.
  • Calculate the tracking error against the index to find out how well the smart beta portfolio did
  • Build a portfolio by using quadratic programming to optimize the weights.
  • Rebalance the portfolio and calculate turn over to evaluate the performance.
  • Use the turn over metric to find the optimal rebalancing Frequency.

For the dataset, the end of day from Quotemedia is used.

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