chaitjo / markowitz-portfolio-optimization

Markowitz portfolio optimization on synthetic and real stocks

Markowitz Portfolio Optimization

Modern portfolio theory was pioneered by Harry Markowitz in 1952 and led to him being awarded the Nobel Prize in Economics in 1990. The original essay on portfolio selection has since inspired a multitude of researchers and analysts to develop theories on financial modelling and risk management. Seeking similar inspiration, I studied the classical portfolio optimization technique introduced by Markowitz and applied it to real world data.

Read the blog post here: chaitjo.github.io/markowitz or refer to the technical report for details.

markowitz-portfolio-optimization's Issues

Issue with sign

Hi, thanks for sharing your work. I am getting the following error and I cannot figure it out if you have any ideas. I already replaced ix by loc and min_ret = Parameters(nonneg=True):

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TypeError Traceback (most recent call last)
~/Documents/Python/markowitz-portfolio-optimization-original/main.py in ()
52 while date_index_iter + 20 < end_index:
53 date = index[date_index_iter]
---> 54 portfolio_alloc = MarkowitzOpt(shift_returns_mean.loc[date], shift_returns_var.loc[date], covariance.loc[date], interest_rate, min_return)
55 distribution[date.strftime('%Y-%m-%d')] = portfolio_alloc
56

~/Documents/Python/markowitz-portfolio-optimization-original/markowitz.py in MarkowitzOpt(mean, variance, covariance, interest_rate, min_return)
31 ret = mu.T* w
32 risk = quad_form(w, Sigma)
---> 33 min_ret = Parameter(nonneg=True)
34 min_ret.value = min_return
35 prob = Problem(Minimize(risk), # Restricting to long-only portfolio

/opt/anaconda3/envs/financial-analysis/lib/python3.10/site-packages/cvxpy/expressions/constants/parameter.py in init(self, shape, name, value, id, **kwargs)
59 self._value = None
60 self.delta = None
---> 61 #self.gradient = None
62 super(Parameter, self).init(shape, value, **kwargs)
63 self._is_constant = True

TypeError: Leaf.init() got an unexpected keyword argument 'sign'

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