bartmelman/efficientfrontier

Investigating different methods to reduce the volatility of a stock portfolio using variations of the Markowitz theorem.

Efficient Frontier

In modern portfolio theory, the objective is to maximise the return for a given level of risk. Harry Markowitz first introduced the concept of an efficient frontier of assets in 1952. The efficient frontier is a set of portfolio's for which no higher expected return can be created for a level of risk.

In this project, I investigate several methods to reduce risk of a portfolio. The following methods are investigated:

• Global Minimum Variance (GMV) Portfolio
• Market portfolio based on PCA of returns
• Efficient Frontier of stocks

Download data

• Download ticker names from the nasdaq website and put the csv file in the folder 'data'.

Install packages

Install the python packages with the following command in the terminal.

pip3 install -r requirements.txt

Usage

Run the following notebook with the data analytics.

run main.ipynb

References

• valid ticker yfinance
• PCA