Portfolio Optimization, Quantitative Finance, Python Programming, Convex Optimization, Data Science.
cov_annualized = np.array(daily_r_cov * 252) Conducting a simulation with 10000 pairs of randomized weights, we can then evaluate the performances based on the Sharpe ratio and the Markowitz model. ret = [] std = [] num_simulation = 10000 num_funds = len(daily_r_vec) W = np.random.normal(1, 3,