/2024_spring_fintech_homework_3

Primary LanguagePythonMIT LicenseMIT

2024-Spring-HW3

Installation

  1. python -m venv venv
  2. source venv/bin/activate
  3. pip install -r requirements.txt
  4. deactivate // leave the virtual environment

Part 1

Assignment Score

Problem 1 - equal weight portfolio

python Markowitz.py --score eqw

Problem 2 - risk parity portfolio

python Markowitz.py --score rp

Problem 3 - mean variance portfolio

python Markowitz.py --score mv

All Problems

python Markowitz.py --score all

Asset Allocation

Problem 1 - equal weight portfolio

python Markowitz.py --allocation eqw

Problem 2 - risk parity portfolio

python Markowitz.py --allocation rp

Problem 3 - mean variance portfolio

python Markowitz.py --allocation mv

Performance Check

Problem 3 - mean variance portfolio

python Markowitz.py --performance mv

Evaluation Metric

Problem 3 - mean variance portfolio

python Markowitz.py --report mv

Part 2

Assignment Score

Problem 1 - Sharp Ratio > 1

python Markowitz_2.py --score one

Problem 2 - Sharp Ratio > SPY

python Markowitz_2.py --score spy

All Problems

python Markowitz_2.py --score all

Asset Allocation

My portfolio

python Markowitz_2.py --allocation mp

Big portfolio

python Markowitz_2.py --allocation bmp

Performance Check

My portfolio

python Markowitz_2.py --performance mp

Big portfolio

python Markowitz_2.py --performance bmp

Evaluation Metric

My portfolio

python Markowitz_2.py --report mp

Big portfolio

python Markowitz_2.py --report bmp

Cumulative Result

My portfolio

python Markowitz_2.py --cumulative mp

Big portfolio

python Markowitz_2.py --cumulative bmp