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Quant Journey
Portfolio optimization: from the highest Sharpe Ratio to minimum volatility
Framework

Portfolio optimization: from the highest Sharpe Ratio to minimum volatility

Learn portfolio optimisation, calculate expected returns and plot a correlation heatmap

Jakub's avatar
Jakub
Jan 30, 2024
∙ Paid
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Quant Journey
Quant Journey
Portfolio optimization: from the highest Sharpe Ratio to minimum volatility
2
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In this article, you will learn about the following:

  • How to calculate log returns and plot a correlation heatmap.

  • How to create a portfolio with equal weights and calculate statistics such as Expected Return, Volatility, and Sharpe ratio.

  • How to run portfolio optimisation to find a portfolio with the highest Sharpe ratio and minimum volatility.

  • How to calcu…

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