https://github.com/chaitjo/markowitz-portfolio-optimization

Markowitz portfolio optimization on synthetic and real stocks
https://github.com/chaitjo/markowitz-portfolio-optimization

convex-optimization cvxpy financial-engineering markowitz portfolio-optimization python stock-market

Last synced: about 1 year ago
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Markowitz portfolio optimization on synthetic and real stocks

• Host: GitHub
• URL: https://github.com/chaitjo/markowitz-portfolio-optimization
• Owner: chaitjo
• License: mit
• Created: 2017-06-07T12:12:19.000Z (almost 9 years ago)
• Default Branch: master
• Last Pushed: 2017-12-20T07:16:31.000Z (over 8 years ago)
• Last Synced: 2023-03-05T10:08:19.309Z (about 3 years ago)
• Topics: convex-optimization, cvxpy, financial-engineering, markowitz, portfolio-optimization, python, stock-market
• Language: Python
• Homepage: https://chaitjo.github.io/markowitz/
• Size: 532 KB
• Stars: 60
• Watchers: 6
• Forks: 24
• Open Issues: 1
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Markowitz Portfolio Optimization

Modern portfolio theory was pioneered by Harry Markowitz in 1952 and led to him being awarded the Nobel Prize in Economics in 1990. The [original essay](http://www.performance-measurement.org/Markowitz1952.pdf) on portfolio selection has since inspired a multitude of researchers and analysts to develop theories on financial modelling and risk management. Seeking similar inspiration, I studied the classical portfolio optimization technique introduced by Markowitz and applied it to real world data. 

**Read the blog post here: [chaitjo.github.io/markowitz](https://chaitjo.github.io/markowitz/) or refer to the [technical report](https://github.com/chaitjo/markowitz-portfolio-optimization/raw/master/Report.pdf) for details.**