Markowitz’s Efficient Frontier

Working for a stock broker, it would be remiss of me not to look at Markowitz’s modern portfolio theory.

I won’t regurgitate what’s already been written - I’ll just help you find it…

So a couple of key articles worth a read are by Bernard Brenyah and they are:

• Markowitz’s Efficient Frontier in Python [Part 1/2]
• Efficient Frontier & Portfolio Optimization with Python [Part 2/2]

And this posting by Ricky Kim has a end-to-end worked example:

• Efficient Frontier Portfolio Optimisation in Python

Ricky’s post is pretty awesome and he’s made it very easy to understand what’s going on in each step.

(and for the mathematician’s out there - it’s a pretty cool example of using a Monte Carlo simulation to solve a problem)

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