4th year project, engineering school, class of 2017
Yacine Belgacem – Mégane Holes – François Lebon – Antoine Palacin – Naïra Saidali
Their project
Markowitz is a method that consists in selecting assets, in order to build a portfolio with the best efficiency possible, as saying a maximum return with lowest risk. Therefore, this optimized portfolio has the highest expected value, among the group of portfolios with the same variance of return as it. The efficient frontier of Markowitz is built with the set of the efficient portfolios.
We applied this method in our project to companies from the CAC40 Index, using historical data downloaded from Bloomberg and through the Import Data Wizard function on Excel. This tool gives the details of the different steps to select needed data and to insert it in an Excel sheet. Thus, all closure prices are obtained, for each company of the CAC40 Index.
Then, we analyzed this data with programming language R. We generated the Variance Covariance matrix of the data base and we displayed the efficient frontier of the asset portfolio. According to the computed optimized weights, the most profitable companies from the CAC40 Index to invest in are: l’Oreal (20%), Safran (20%), Valeo (19.1%), Essilor International (19.1%) Cap Gem (12.4%), Pernod Ricard (5.1%) et Airbus Group (4.3%).
Ecole Supérieure d'Ingénieurs
Léonard de Vinci
Paris • Nantes • Montpellier
Tél. : +33 1 81 00 28 38
admissions@esilv.fr
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