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)
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
1 maintainer
Metadata
1 maintainer
Release files for portfolios 0.1.0
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