Here is the homework for the class Methodes Statistiques.

The code in R can be found in the code directory. There is no data file since the data (FTSE 100) was taken from the package qrmdata.

The code is about asset allocation: Analyzing the minimum-variance portfolio and the maximum diversification portfolio with an in-sample analysis and an out-of-sample analyis. Different statistical methods were tried to optimize the portfolios such as resampling, shrinkage approaches, etc.

There is a html file presenting our results in the results directory.