portfolios 0.1.0

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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