Research Project I

Report structure done including the set up of contents, list of figure and tables

June 6 Theo and Mvano were working on the literature review which should be complete by the end of today Melissa and Andy were still working on the different portfolios.

Andy and Melissa met at 3pm to 11pm. We started off the meeting trying to finish the maximum number of bets portfolio. In the last session, we were getting the correct weights for the PCA portfolio, but these were not correctly linking the specific portfolios. We then completed the minimum variance portfolio. After calculating the correct weights in Matlab, we transferred the information into excel to find the returns of the completed portfolio. Theo joined the session to keep working on the lit review and the report of the project.

Andy and Melissa met on the 23rd of May to build the minimum variance portfolio.

Andy and Melissa met on the evening of the 22nd of May to find the missing values for the share returns. We found the constituents that either joined the JSE at a later stage, or were delisted during the time period that we are assessing. We matched each constituent that had missing data to an Index. We then found the returns of the index from its prices, and then used these index returns to work backwards to find the relevant share prices required.