-
Book Overview & Buying
-
Table Of Contents
Python for Finance Cookbook - Second Edition
By :
According to the MPT, the Efficient Frontier is a set of optimal portfolios in the risk-return spectrum. This means that the portfolios on the frontier:
All portfolios located under the Efficient Frontier curve are considered sub-optimal, so it is always better to choose the ones on the frontier instead.
In this recipe, we show how to find the Efficient Frontier using Monte Carlo simulations. Before showing more elegant approaches based on optimization, we employ a brute force approach in which we build thousands of portfolios using randomly assigned weights. Then, we can calculate the portfolios' performance (expected returns/volatility) and use those values to determine the Efficient Frontier.For this exercise, we use the returns of four US tech companies from 2021.
Execute...