Calendar Returns

Calendar returns is an analysis of close-to-close returns for specific calendar periods: year, quarter, month, and week. Results are computed for: Minimum, 25th Percentile, Median, 75th Percentile, and Maximum. They are available as CSV files and for each asset there...

Portfolio Diversification Via K-means

Introduction We use the K-means algorithm to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a diversified portfolio be constructed? Additionally, we use the multidimensional scaling (MDS) algorithm to visualize...