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:
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)