Equity Portfolio Optimization with R

Anastasiya Kotelnikova

Completed work

Data Analyst

ggplot2

Investment & Asset Management

Equity Portfolio Optimization (R)

This project simulates portfolio rebalancing strategies using historical stock price data for a $5 million equity fund. The objective is to evaluate buy-and-hold vs. periodic rebalancing strategies based on daily market-to-market (MTM) values across 10 selected tech stocks.

Completed as part of the Data Analytics with R course at NJIT.

Dataset

Source: Simulated time series data for 10 publicly traded tech stocks

Structure: Daily stock prices throughout 2018 (250+ trading days)

Format: CSV

Project Goals

Simulate market value changes using stock returns

Analyze and compare rebalancing strategies:

Buy and Hold

Quarterly Rebalancing

Annual Rebalancing

Optimize rebalancing based on dividends and MTM performance

Tools & Techniques

R: tidyverse, lubridate, ggplot2

Portfolio return calculations

Cumulative return and drawdown analysis

Time series visualization

Sample Output

Strategy Final Portfolio Value Buy & Hold $5.78M Quarterly Rebalance $5.95M Annual Rebalance $5.81M

Project Structure

equity-portfolio-optimization-r/
├── equity_portfolio_management_project.ipynb   # Main notebook
├── data/                                       # CSV time series data
├── outputs/                                    # Charts, results
└── README.md                                   # Project overview