RenShuhuai-Andy / portfolio-optimization

Portfolio Optimization for A-share, Assignment for PKU Network Information Architecture

CS410: Portfolio Optimization

Assignment for PKU Network Information Architecture (网络信息体系结构) 2021 spring.

Given the TOP50 stocks (A-share) with heavy public offerings in the first quarter of 2021, determine the efficient frontier and optimal portfolio.

Introduction

Prepare environment

conda create -n cs410 python=3.6
conda activate cs410
conda install pytorch torchvision cudatoolkit=10.0 -c https://mirrors.tuna.tsinghua.edu.cn/anaconda/cloud/pytorch
pip install -r requirements.txt 

Optimization Model

1. Mean-Variance Optimization

• Mean-Variance.py

2. Capital Asset Pricing Model

• CAPM.py

3. Neural Network

• nn.ipynb & NN.py

Evaluation

• evaluation.py

Visualization

• visualization.ipynb

Results