In recent years, the use of Mathematics and Statistics in Finance has become increasingly important, with the arrival of new software and investment methods. The notion of market efficiency, particularly the assumption that assets are always correctly priced, suffers from market anomalies which lead to potential arbitrage strategies in the short run. Therefore, this project aims to model portfolios using market anomalies and traditional finance methods. The goal is to develop a step-by-step procedure for portfolio selection and implement it in software.
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