Resharing this post (original here: https://www.quantopian.com/posts/the-efficient-frontier-markowitz-portfolio-optimization-in-python-using-cvxopt) so that cloning is enabled.
In this post you will learn about the basic idea behind Markowitz portfolio optimization as well as how to do it in Python. We will then show how you can create a simple backtest that rebalances its portfolio in a Markowitz-optimal way. We hope you enjoy it and get a little more enlightened in the process.
Full blog post: http://blog.quantopian.com/markowitz-portfolio-optimization-2/