Dec 15, 2022
Markowitz Strategic Allocation with Machine Learning
Forecasting stock prices with machine learning and evaluating portfolio allocations under the Markowitz framework
Conducted as part of coursework at Ecole Polytechnique de Tunisie (Tunis, Tunisia). The project explored the integration of machine learning forecasts into strategic portfolio allocation under Markowitz’s framework.
Forecasting
Predicted stock prices using machine learning models
Portfolio Construction
Built Markowitz optimal portfolios using both historical and predicted stock prices
Backtesting
Evaluated both allocations over a 3-month horizon and compared performance