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Markowitz portfolio optimisation (efficient frontier) in Python
Hi @tthustla,
great work on the markowitz portfolio analysis!
i wish to compare several sets of efficient frontiers based on different historical timeframes (rolling windows)
in order to compare, i need to find and compare portfolios with the same risk.
in your example:
plt.plot([p['fun'] for p in efficient_portfolios], target, linestyle='-.', color='black', label='efficient frontier')
efficient_portfolio is variable y but i am unable to find variable x.
Do you have an idea how i could extract the efficient portfolio and annualized return for the given annualized volatility of 0.17. (Perhaps similar to the command returning the sharpe portfolio and min variance portfolio)
Your insight is very much appreciated!
Kind regards
Hello,
nvm, thanks
Thank you for sharing the repo. I think the objective function may could be improved.
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