Analysis
Portfolio Optimization for a Sustainable Fashion ETF
Overview
What this challenge is about.
You are given monthly returns for 20 candidate stocks (5 years of data) and the risk-free rate. Your task is to select 15 stocks and compute the efficient frontier, the tangency portfolio, and the minimum variance portfolio. Then, evaluate each stock's beta and alpha using the CAPM. Finally, recommend a portfolio that maximizes Sharpe ratio and justify your selection. Success means delivering a clear report with charts and a table of portfolio weights, expected return, risk, and Sharpe ratio.
The Brief
What you'll do, and what you'll demonstrate.
Construct an optimal portfolio of 15 sustainable fashion stocks that maximizes risk-adjusted return, using mean-variance optimization and CAPM analysis.
Earning criteria — what you'll demonstrate
- Apply mean-variance portfolio theory to construct efficient portfolios
- Use CAPM to estimate systematic risk and expected return of individual stocks
- Calculate and interpret performance metrics (Sharpe, Treynor, Jensen)
- Optimize portfolio under a volatility constraint
Program Fit
Where this fits in your program.
Sharpens the same skills your degree expects you to demonstrate.
Skills
Skills you'll demonstrate.
Each one shows up on your verified credential.
Careers
Roles this prepares you for.
Real titles. Real skill bridges. Pick the one closest to your trajectory.
Career mappings coming soon.