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  • Book Overview & Buying Python for Finance Cookbook
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Python for Finance Cookbook

Python for Finance Cookbook - Second Edition

By : Eryk Lewinson
4.9 (38)
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Python for Finance Cookbook

Python for Finance Cookbook

4.9 (38)
By: Eryk Lewinson

Overview of this book

Python is one of the most popular programming languages in the financial industry, with a huge collection of accompanying libraries. In this new edition of the Python for Finance Cookbook, you will explore classical quantitative finance approaches to data modeling, such as GARCH, CAPM, factor models, as well as modern machine learning and deep learning solutions. You will use popular Python libraries that, in a few lines of code, provide the means to quickly process, analyze, and draw conclusions from financial data. In this new edition, more emphasis was put on exploratory data analysis to help you visualize and better understand financial data. While doing so, you will also learn how to use Streamlit to create elegant, interactive web applications to present the results of technical analyses. Using the recipes in this book, you will become proficient in financial data analysis, be it for personal or professional projects. You will also understand which potential issues to expect with such analyses and, more importantly, how to overcome them.
Table of Contents (18 chapters)
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16
Other Books You May Enjoy
17
Index

Finding the Efficient Frontier using Monte Carlo simulations

According to the Modern Portfolio Theory, the Efficient Frontier is a set of optimal portfolios in the risk-return spectrum. This means that the portfolios on the frontier:

  • Offer the highest expected return for a given level of risk,
  • Offer the lowest level of risk for a given level of expected returns.

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. We build thousands of portfolios, using randomly assigned weights, and visualize the results. To do so, we use the returns of the four US tech companies from 202

How to do it...

Execute the following steps to find the Efficient Frontier using Monte Carlo simulations.

  1. Import the libraries:
import yfinance as yf
import numpy as np
import pandas as pd
  1. Set up the parameters:
N_PORTFOLIOS...
CONTINUE READING
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Python for Finance Cookbook
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