Uncorrelated's Mean Variance Optimizer

Here I've added a requirements.txt file to make it easier to get running.

Build Instructions

Create a virtual env if you haven't already:

python3 -m venv venv

Activate the virtual env:

source venv/bin/activate

Install dependencies:

pip install -r requirements.txt

Now you can run the script:

python mvo_original.py

See the linked thread above for more details.

You can add more assets and adjust the expected returns, volatility, correlations, etc.

I also created a script for calculating your CRRA (constant relative risk aversion, aka "gamma").

For help, run:

python crra.py -h

Special thanks to Bogleheads user Uncorrelated for producing the original code and dedicating it to the public domain.