marcelomijas / two_stocks_portfolio

Two stocks minimum-variance portfolio and optimal portfolio with Python.

By Marcelo Moreno and Yago Cano, from King Juan Carlos University.

Two stocks portfolio analysis with Python

Two stocks minimum variance portfolio and optimum market portfolio analysis with Python using Harry Max Markowitz modern portfolio theory.

Libraries used for the project:

• yfinance
• numpy
• pandas
• matplotlib

Usage

1. Make sure to have installed the last version of all the libraries above.
2. Download and execute the two_stocks_portfolio.py file with Python (versions equal or above 3.8 are recommended).
3. First, the program will ask to introduce the ticker symbol of the 1st of the two stocks that the portfolio will be composed of. Introduce it and press Enter.
4. Secondly, the program will ask to introduce the ticker symbol of the 1st of the two stocks that the portfolio will be composed of. Introduce it and press Enter.
5. Then, the program will automatically download data from the risk-free asset and start the calculations.
6. When the calculations are complete, the program will prompt to press Enter to show results. Press it. Per stock and portfolio stats will be displayed.
7. Finally, the program will ask for a graphic representation of the portfolios in the return-risk space. Press Y to proceed, or N to finish the program.
8. If graphic representation is selected, a matplotlib window will automatically appear with the plot. Here you can zoom in, out, save the plot as an image... with the matplotlib interface. When you are finished, close the matplotlib window and the program will end.

By default, the program uses the time period of 1 year with 1 days intervals, the 'Close' price for its calculations, and the risk-free asset is 10 year US bond yield (^TNX).

Example

Example using Cadence Design Systems, Inc (CDNS) and Fiserv, Inc (FISV) stocks:

TWO STOCKS PORTFOLIO ANALYSIS
-----------------------------

Ticker symbol stock 1: CDNS
[*********************100%***********************]  1 of 1 completed
Ticker symbol stock 2: FISV
[*********************100%***********************]  1 of 1 completed
Risk free asset: ^TNX (10 year US bond yield)
[*********************100%***********************]  1 of 1 completed

Calculation complete. Press Enter to show results

STOCK STATS
            FISV  CDNS
     Mean: 0.267 0.394
 Variance: 0.088 0.127
Std. Dev.: 0.297 0.357
 Covariance:  0.060119
Correlation:  0.567701

MINIMUM VARIANCE PORTFOLIO STATS
   % FISV: 70.505
   % CDNS: 29.495
     Mean:  0.304
 Variance:  0.080
Std. Dev.:  0.283
Sharpe ratio:  1.076

OPTIMUM MARKET PORTFOLIO STATS
   % FISV: 35.265
   % CDNS: 64.735
     Mean:  0.349
 Variance:  0.092
Std. Dev.:  0.303
Sharpe ratio:  1.153

Graphic representation? Y/[N]

If the response to Graphic representation? is Y, then:

Lastly (have chosen N or closed the matplotlib window):

Program finished