jamosw / portfolio-optimizer

Using Shiny for Python to visualize mean-variance portfolio optimization, using mean monthly returns.

Mean-Variance Portfolio Optimization Dashboard

Overview

The Mean-Variance Portfolio Optimization Dashboard is a web application built with the Shiny for python framework. It allows users to visualize and analyze mean-variance portfolio optimization based on historical mean monthly returns of financial assets. This tool is designed to vizualize the concept of portfolio optimization.

Features

• Input Historical Returns: Users can input historical mean monthly returns of financial assets into the dashboard.

• Efficient Frontier: The application calculates and displays the efficient frontier, showing various portfolios with different risk-return profiles.

• Optimal Portfolio: It identifies and highlights the optimal portfolio with the highest Sharpe ratio.

• Risk-Return Visualization: Users can visualize the risk and return characteristics of different portfolios through interactive charts.

The code for this dashboard is inspired by the book:

Modern Portfolio Theory: Foundations, Analysis, and New Developments by Jack Clark Francis, Dongcheol Kim