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Updating the MPO Blog Post

Hi,

I just got started and am trying to replicate this great blog post on the Efficient Frontier:
http://blog.quantopian.com/markowitz-portfolio-optimization-2/

However the real-stock implementation is giving me lots of errors, most seemingly related to zipline (sids missing, undefined 'data'...), which leads me to think the code is somewhat outdated.

Is that correct? Does anyone happen to have some working code to share?

Cheers!

J.

4 responses

Here is a link to thread with Wayne Nilsen working implementation of minimum variance portfolio.
https://www.quantopian.com/posts/modern-portfolio-theory-minimum-variance-portfolio#55a70dc3a101bfa48a0002ec

Hi Vladimir,

Thanks for the link. Correct me if I'm wrong but I believe that algorithm calculates an overall mv portfolio, while I'm more interested in all efficient frontier portfolios, corresponding to their respective levels of variance. My goal is to assign such portfolios to arbitrary risk profile categories, i.e. risk averse, risk neutral, risk taker...

Here is another links:
Ryan Davis working version of Markowitz Portfolio Construction
https://www.quantopian.com/posts/markowitz-portfolio-construction#55b7450cac71d85935000337
Brian Vetere version on sector etf products from state street plus TLT
https://www.quantopian.com/posts/markowitz-portfolio-construction#55b7497827871f18d90007ef
David Edwards CLA on the sector etf plus TLT
https://www.quantopian.com/posts/critical-line-algorithm-for-portfolio-optimization#55b7537780412d67b2000256

Hi Vladimir,

That's awesome. Thanks for this.