These are some functions for portfolio construction under different models, including Basic Mean_Variance Models, Factor Models and Black-Litterman Models.
The idea behind this project is derived from the assignments of FINC6009 at the University of Sydney. If you are currently enrolling in this unit, these defined functions may help you process financial data and complete assignments more efficiently. However, you are firstly encouraged to figure out those questions to avoid plagiarism. Meanwhile, looking forward to some improvements from you guys. 感谢大神们不吝赐教!
There are three files uploaded, including Return Data.csv, Factor Data.csv and IndustryMktCaps.xlsx, which may assist in familiarizing yourself with those functions. For further deployment, you can also download such data on Kenneth R. French Data Library via http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.