Factor Modeling, Portfolio Construction, Python, Log Returns, Finance.
mean_variance_optimization(self): # Implement Mean-Variance Optimization for portfolio construction expected_returns = np.mean(self.log_returns, axis=0) cov_matrix = np.cov(self.log_returns, rowvar=False) weights = np.random.random(len(expected_returns)) weights /= np.sum(weights) return weights