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项目作者： jackmoody11

项目描述 ：
Efficient Portfolio Allocation using Markowitz's Efficient Frontier
高级语言： Python
项目地址: git://github.com/jackmoody11/portfolio_opt.git
创建时间： 2019-07-14T15:23:11Z
项目社区：https://github.com/jackmoody11/portfolio_opt
开源协议：
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Portfolio Optimization

This is an example of how Modern Portfolio Theory can be used to generate optimal risk-adjusted returns. There are a few scripts which can be run:

  1. Frontier: Plots efficient frontier and calculates best mix of given investment options.
    Efficient Frontier
  2. Correlation: Plots a heatmap of correlation between each pair of investment options. This shows how different investment options move with respect to one another over time.
    Covariance Heatmap

Note: The current scripts assume that all prices are adjusted (dividends and splits taken into consideration).