- download data for stocks in DJIA
- rank stocks by most predictable volatility using Lagrange multiplier test
- forecast volatility for top 5 stocks using GARCH models
- interpret alphas and betas in GARCH models
- optimize allocation of stocks in a portfolio that minimizes risk with a min return of 0.05% per day
- use forecasted volatility as variance and historical covariance for optimization (risk calculation)
- gurobi used for optimization (license required)
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