Simple Portfolio Optimization with Python

Published February 8, 2021 18 Views

Rumble We have done various optimization problems in past videos including using it to fit regression models, find the optimal angle to hit a baseball to maximize distance traveled, gradient descent, and probably others that I can’t recall. Here, we will try to optimize a portfolio-- at least in a backwards looking sort of way. We will do two optimizations: first is a simple, almost trivial case of maximizing returns, the second is using a Sharpe ratio.

It should be obvious, but I will say it anyway. This is for teaching purposes only and one shouldn’t build a portfolio on this without substantial backtesting.


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