Portfolio Optimization, Quantitative Finance, Python Programming, Convex Optimization, Data Science.
storing the information of volatilities: daily_ret_matrix = df[eq_funds + bd_funds].pct_change(-1).dropna() # expected daily return and covariance matrix daily_r_vec = daily_ret_matrix.mean(axis=0) daily_r_cov = daily_ret_matrix.cov() # turn into annual data r_annualized = daily_r_vec * 252