Portfolio
Modern portfolio theory - Wikipedia
Efficient Frontier
Model
$$
\begin{split}
\min_{\boldsymbol{w}} ~ & ~ \sigma_P^2 = \sum_i\sum_j w_i w_j \sigma_i\sigma_j \\
\text{s.t.} ~ & ~ \boldsymbol{w}^\top \boldsymbol{1} = 1 \\
~ & ~ \boldsymbol{w}^\top \boldsymbol{\mu} = \mu_P \\
\end{split}
$$
Usage
# you can specify your favorite arguments
bash frontier.sh
# or use default arguments
python frontier.py
Result
Asset Allocation
Model
$$
\begin{split}
\max_{\mu,\sigma} ~ & ~ U = \mu-\frac12 A\sigma^2 \\
\text{s.t.} ~ & ~ \mu=r_F + \frac{\sigma}{\sigma_P} (\mu_P-r_F) \\
\end{split}
$$
Subscript clarification:
- F is for "risk-free"
- P is for "portfolio"
Usage
Result
Data
There is only one sample csv file 2011-01-31.csv in ./data/. Collect other data by your self.
