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Description:
portfolios 0.1.0
Portfolio Optimization Experiments
I've been interested in finance for a long time, but I've never had the
opportunity to learn about it in a structured way. This idea came to me
after a twitter mutual mentioned that french state pensions had to be better
in terms of revenue for middle class people compared to S&P 500. I was curious
about how to compare the two, and I started to learn about financial concepts
such as volatility, risk, and return. I also wanted to learn about how to compare
metrics such as the IRR via the Sharpe ratio, and how to compare risk-free assets
such as french pensions to risky assets such as S&P 500.
The experiments can be found on GitHub,
and the results are published in sections of my optimization book
(which is also open source).
Main tools (for now)
Pandas
Numpy
CVXPY
Plotly
Upcoming experiments
Model the french pension system as an asset & compare it to S&P 500
Estimate risk aversion from historical data
Calculate the tradeoff curve for the french pension system
Contributors
Arno
Max
License
For personal and professional use. You cannot resell or redistribute these repositories in their original state.
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