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Financial-Engineering-Continuous-Porfolio-Optimization

This project applied concepts of capital asset pricing, sentiment analysis and Markowitz portfolio theory in building optimal investment portfolios for a novice investor that aims to combine traditional stock investment with cryptocurrency investments.

Utilization of sentiment analysis on tweets as a proxy for cryptocurrency price prediction was investigated resulting in more streamlined approaches for price prediction.

Results of portfolio optimization suggests that diversifying investment portfolio to include cryptocurrency may yield significantly higher returns with minor increase in expected risk.

Finally, an algorithm that can be utilized for continuously optimizing portfolio after forecasting crypto price in several timesteps is presented.

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