/Envelope

Code to visualize the envelope.

Primary LanguagePython

Envelope

Code to visualize the envelope. Creates an envelope given the assets in a set through simulation of different portfolios where short-selling is allowed and plots them. In addition, constrained optimization is used to find the mean-variance portfolio and the minimum variance portfolio, which in turn are compared to the ones identified through simulation. It also plots the capital allocation line from the risk-free asset to the MVP, and then onwards after taken into account the borrowing cost (kink). It uses the 3-month treasury bill as a proxy for risk-free rate.