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Exercise

The MSR portfolio

The maximum Sharpe ratio, or MSR portfolio, which lies at the apex of the efficient frontier, can be constructed by looking for the portfolio with the highest Sharpe ratio.

Unfortunately, the MSR portfolio is often quite erratic. Even though the portfolio had a high historical Sharpe ratio, it doesn't guarantee that the portfolio will have a good Sharpe ratio moving forward.

Инструкции

100 XP
  • Sort RandomPortfolios with the highest Sharpe value, ranking in descending order.
  • Multiply MSR_weights_array across the rows of StockReturns to get weighted stock returns.
  • Finally, review the plot of cumulative returns over time.