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!
Este ejercicio forma parte del curso
Introduction to Portfolio Analysis in Python
Ejercicio interactivo práctico
Prueba este ejercicio y completa el código de muestra.
# Calculate weights for the maximum Sharpe ratio portfolio
raw_weights_maxsharpe = ef.max_sharpe()
cleaned_weights_maxsharpe = ef.clean_weights()
# Show portfolio performance
print(cleaned_weights_maxsharpe)
____.____(verbose=True)