https://github.com/milanpeter-77/coursework-portfolio-selection
Portfolio selection assignment for the VU Amsterdam Quantitative Investing course – extended weekly from a momentum-based S&P 500 strategy to advanced portfolio optimisations.
https://github.com/milanpeter-77/coursework-portfolio-selection
allocation mean-variance-optimization portfolio
Last synced: 4 months ago
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Portfolio selection assignment for the VU Amsterdam Quantitative Investing course – extended weekly from a momentum-based S&P 500 strategy to advanced portfolio optimisations.
- Host: GitHub
- URL: https://github.com/milanpeter-77/coursework-portfolio-selection
- Owner: Milanpeter-77
- Created: 2025-09-26T09:08:43.000Z (5 months ago)
- Default Branch: main
- Last Pushed: 2025-09-26T09:14:33.000Z (5 months ago)
- Last Synced: 2025-09-26T11:25:59.405Z (5 months ago)
- Topics: allocation, mean-variance-optimization, portfolio
- Language: Jupyter Notebook
- Homepage:
- Size: 43 KB
- Stars: 0
- Watchers: 0
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# This repository contains my *Portfolio Selection Assignment* for the Quantitative Investing course at Vrije Universiteit Amsterdam.
The assignment is designed as a **weekly extension project**:
* **Part I (Week 1):** Construction of a baseline portfolio using a simple momentum strategy on S&P 500 stocks, allocating $100,000 across positive return stocks and a 1% risk-free asset.
* **Part II (Weeks 2–6):** Iterative updates of the portfolio based on course topics. For example, in Week 2 I moved to a mean-variance optimized tangency portfolio (long-only), with later weeks planned to introduce further refinements.
Each week builds on the previous one, demonstrating the progression from a naive benchmark to increasingly sophisticated portfolio construction methods. The repository documents both the methodology and the reasoning behind each step.