Comparing approaches
In this exercise, you're going to investigate whether the maximum Sharpe portfolios differ when you are using the normal historic expected risk and returns, and when using the exponentially weighted risk and returns. You saw during the video that the exponentially weighted volatility follows the real volatility much closer, but do you actually see a big difference in the portfolio weights when using one, or the other? That's what you'll find out.
The exponentially weighted risk and return have been calculated using a span of 252 trading days, so it looks back through a maximum period of a year. Available for you are: cleaned_weights_maxsharpe
, perf_max_sharpe
, cleaned_weights_maxsharpe_EW
, perf_max_sharpe_EW
. The _EW
part stands for exponentially weighted.
This exercise is part of the course
Introduction to Portfolio Analysis in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Print the weights of both portfolios types
print(____, ____, sep="\n")