Mean-Variance Optimization

概要

Streamlines the process of performing mean-variance portfolio optimization to identify the tangency portfolio, which offers the highest expected return per unit of risk. This skill interactively guides users through inputting asset returns, standard deviations, and correlations to construct a valid covariance matrix and compute optimal allocations. Beyond simple calculation, it provides a comprehensive breakdown of portfolio statistics and economic intuition, helping users understand the impact of diversification, short selling, and the relationship between the efficient frontier and the capital allocation line.

主な機能

• Calculation of tangency portfolio weights maximizing the Sharpe ratio
• Economic interpretation of long/short positions and diversification benefits
• Detailed performance statistics including expected return and volatility
• Automated covariance matrix construction and positive-definite validation
• 0 GitHub stars
• Interactive collection of returns, risks, and pairwise correlations

ユースケース

• Maximizing the Sharpe ratio for a specific set of risky assets
• Determining the optimal allocation for a multi-asset investment portfolio
• Evaluating the diversification impact of adding new assets to a portfolio