In this project we will find the minimum variance portfolio, the most challenging part of this project was writing the linear algebra functions. This project requires basic knowledge in financial mathematics. A minimum variance portfolio is essentially the combination of securities that will minimuze the overall volatility of the portfolio. to get started first you have to downaload quotes.zip and extract all the files within a folder then simply download download MVP.cpp, DataExtraction.h, and matrix.h into that folder, then run MVP.cpp.
I have downloaded the data from quandl the zip folder contains 100 stocks because i cannot upload a larger file to github.
the matrix.h file contains varoious matrix operations including inverse and covariance, the functions are written with vectors.
The DataExtraction file contians functions that wll be used in order to turn the data from quandl into something we can use.
The MVP.cpp file is our main file it will find the minimum variance portfolio through some linear algebra.