Author: Sari Saba-Sadiya
For students in cse440 introduction for artificial intellegence, spring 2019.
Modern portfolio theory (MPT) was formulated by the economist Harry Markowitz at 1952, and later won him a Nobel Prize. The key concept of MPT is that by calculating the risk, expected returns, and correlations between stocks one can choose a portfolio (a group of holdings in different stocks) to maximize his expected returns. His methods, now standard at every hedge-fund, rely on optimizing a complex multi variable function. Hence, many economists focus on coming up with ways to convert the equations to convex optimizations problems that can be easily approximated numerically.
This assignment will walk you through some of the classical and cutting edge techniques in portfolio optimization using the python convex optimization packadge CVXPY.
Contents:
|-> stock_table.csv : A stock table for the excersize.
|-> cse440PortOpt.pdf : The assignment guide
To view the code use: https://nbviewer.jupyter.org/github/sari-saba-sadiya/portfolioOptPython/blob/master/portOpt_censored.ipynb