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Exercise

Minimum volatility optimization

In this exercise, you're going to compare the minimum volatility and the Maximum Sharpe portfolios. As a portfolio manager you often want to understand how your chosen portfolio measures up to the minimum volatility portfolio. WithPyPortfolioOpt you can compare the two quickly, without having to write two different constrained optimization problems, which can be quite complex. Available for you is the efficient frontier from the previous exercise under ef. Let's give it a try!

Instructions 1/2
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  • 1

    Inspect the Maximum Sharpe portfolio from the previous exercise by using portfolio_performance() numbers from ef.

  • 2

    Change the optimizer into the min vol optimizer, run the code again and inspect the weights and the performance numbers.

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