Portfolio Optimization with Python - Part II
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....