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.
This exercise is part of the course
Introduction to Portfolio Analysis in Python
Exercise instructions
- 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.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Get the minimum risk portfolio for a target return
weights = ef.____(____)
print (weights)
# Show portfolio performance
ef.____(verbose=True)