This work details construction of optimal Risk-Budgeted and leveraged long-short portfolios using a metaheuristic strategy viz., Differential Evolution with Hall of Fame (DE HOF). Risk-budgeted portfolios ensure investment exposure and market protection at the same time. The investment strategy is demonstrated over an equity portfolio invested in S&PBSE 200 Index (Bombay Stock Exchange, INDIA, April 2009 - July 2020).
The Jupyter Notebook "MainContent.ipynb" describes and demonstrates the Python code for the investment strategy, over an equity portfolio invested in S&PBSE200 index. The CSV file "S&PBSE200_kPortfolioParams.csv" describes the portfolio parameters extracted from the historical data set, to be provided as input to DE HOF. The inputs describing investor preferences and control parameters of DE HOF are directly fed into the Python code, for reasons of convenience while re-working on the codes.