Portfolio Optimization
This is an example of how Modern Portfolio Theory can be used to generate optimal risk-adjusted returns. There are a few scripts which can be run:
- Frontier: Plots efficient frontier and calculates best mix of given investment options.
- Correlation: Plots a heatmap of correlation between each pair of investment options. This shows how different investment options move with respect to one another over time.
Note: The current scripts assume that all prices are adjusted (dividends and splits taken into consideration).