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  3. Introduction to Portfolio Analysis in Python

Exercise

Optimal portfolio performance

Let's now continue with the efficient frontier ef that you calculated in a previous exercise for the small portfolio. You still need to select an optimal portfolio from that efficient frontier ef, and check its performance. Let's use the efficient_return option. This function selects the portfolio with the minimized risk given a target return. A portfolio manager is often asked to manage a portfolio under certain risk and return constraints, so this is a very useful function for that.

mu and Sigma are already calculated for you and ef is also available.

Instructions

100 XP
  • Obtain an efficient return portfolio, with a target return of 0.2. Store the weights of that portfolio under weights, then print and inspect the weights. Are there any stocks with zero weight?
  • Obtain the performance report for your efficient return portfolio.