Using the current stocks of your final project portfolio, and the website https://www.portfoliovisualizer.com/:
1. Run the Black-Litterman model (https://www.portfoliovisualizer.com/black-litterman-model) based on the information of the last 5 years. (Bodie et al, chapter 27)
2. Run the Risk Factor Allocation model (https://www.portfoliovisualizer.com/risk-factor-allocation) with the Fama French 5-factor model [Market (Rm-Rf), Size (SMB), Value (HML), Profitability (RMW), Investment (CMA)] based on the information of the last 5 years.
For both questions, you can run the models with the assumptions that you consider adequate; however, you must justify them in your report.
3. Suggest how you can use a machine learning algorithm of your choice to improve the results of both models. You do not have to implement any machine learning algorithm. It is only an exploratory question.
4. Would you use any of these methods to optimize your final project portfolio? Why?
Note for your input: You only need to select the tickers of the companies of your portfolio, with their allocation or upload a file as the following sample file. You do not have to use your own data as you can select the option of 5 years or 60 months for each exercise: HwkPortOptImport.csv .
Submit a report in a pdf or html file. And include an Excel file with all of your calculations.
