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1) Use some of the Peer Group data to construct a 20 variable VaR function, drawdown function and minimize them using MATLAB Optimization Toolbox. Choose sub-time intervals to compare the performance of thus formed portfolios against equal-weight fund into the future (for example, if data are given between Jan 1994 and Dec 1995, you may use Jan 1994 – Dec 1994 data to calculate portfolio composition and test the performance on data from Jan 1995 – Dec 1995).
