/crypto-efficient-frontier

Developing an efficient frontier allocation for a crypto portfolio

Primary LanguageJupyter NotebookMIT LicenseMIT

crypto-efficient-frontier

Developing an efficient frontier allocation for a crypto portfolio

The relevant functions developed thus far are:

  • Volatility minimizator: minimize_vol(desired_return,crypto_ticker_list) This functions returns the weights of the least risky portfolio given the desired cryptos and the desired return

The main tasks ahead are:

  • Add time considerations for the calculations, so only a certain timeframe can be used for returns and volatility estimations
  • Get rid of tests
  • Consider what happens for cryptos with different timeframe data availability
  • Add function to return optimal portfolio given risk-free rate
  • Add local database so the api only needs to be called once for every crypto when we need to do new analysis