portfolio-optimization
Overview
This project solves an optimization problem to find the right allocation of N stocks of a portfolio that maximizes the expected return for a given risk level. The approach is inspired by the Machine Learning for Trading course of Georgia Tech Institute distributed through Udacity
Contents
Given a set of N stocks, whose data are available in provided csv files, the code use the scipy optimization library to calculate the optimal percentage of each stock in the portfolio to get an optimal return over the time period considered.
Usage
Run this code using jupyter notebook. Just type jupyter notebook in the main directory and the code will pop up in a browser window.