Posts

This is the second part of the Portfolio Optimization with Python series. In Part I, we introduced the Portfolio Optimization field, the MVO framework and the MOSEK python API for solving a constrained portfolio optimization problem efficiently. This time, we will find the portfolio that maximizes a performance metric called Sharpe Ratio. We will first introduce the Sharpe Ratio and its benefits and drawbacks as a portfolio performance metric. Finally, we will formulate the optimization problem theoretically as a conic problem and solve it using Python....

This is the first part of the Portfolio Optimization with Python series. The intend is to make a deep dive into the field and study some real-world applications with Python. Throughout the series, I’ll be using MOSEK library for solving the optimization problems and Backtrader for backtesting the portfolio management strategies. This time, I’ll make a brief introduction to the Markowitz Portfolio Optimization framework so you start to familiarize with the relevant concepts....