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 exercício faz parte do curso
Introduction to Portfolio Analysis in Python
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# 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)