Robust Portfolio Management Under Extrema Events
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Improved Optimal Portfolio Management
Stock Picking Technique
Eran Ezra, Michael Vurgaft, Leonid Borin, Arkadi Podlisker
Advisor -Dr. Gal Zahavi
In this we will try to build a Markowitz portfolio of shares & stocks that will be robust and assure lower risk and higher return than the market portfolio. We embed Greenblat’s method for stock picking in order to improve the overall portfolio performance with respect to the market portfolio. Finally we will compare the performance of the new algorithm to the S&P500 with real data and show that the algorithm shows significant improvement to the portfolio management. .