PORTFOLIO OPTIMIZATION

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1. Define a portfolio style – one of four - LCV, LCG, SCV, SCG.

2. Select 10 stocks to place in your defined style of portfolio.

3. Use stock prices from 2012 to 2014 to determine the risk, return and correlation of your stocks.

4. Initially equally weight the portfolio.

5. Vary weights to optimize your portfolio selection.

6. Test your portfolio’s performance from 2015-2017.

7. Evaluate your portfolio on all relevant risk-return measures.

8. Resources: Building a Style Portfolio (Links to an external site.).

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