Portfolio Optimization, Quantitative Finance, Python Programming, Convex Optimization, Data Science.
# for optimially weighted w_opt = w.value opt_cumprod = (cumprod_mat @ (w_opt * notional)) opt_cumprod = opt_cumprod.iloc[::-1].reset_index(drop=True) # date date = df.Date[cumprod_mat.index] date = pd.to_datetime(date, format="%d/%m/%Y") date = date.iloc[::-1].reset_index(drop=True) # plot the