Simple Portfolio Optimization with Python

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.

Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/portfolio_optimization/Portfolio%20Optimization.ipynb

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