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Python for Finance by Yuxing Yan

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Finding an efficient portfolio and frontier

In this section, we show you how to use the Monte Carlo simulation to generate returns for a pair of stocks with known means, standard deviations, and correlation between them. By applying the maximize function, we minimize the portfolio risk of this two-stock portfolio. Then, we change the correlations between the two stocks to illustrate the impact of correlation on our efficient frontier. The last one is the most complex one since it constructs an efficient frontier based on n stocks.

Finding an efficient frontier based on two stocks

The following program aims at generating an efficient frontier based on two stocks with known means, standard deviations, and correlation. We have just six input values: ...

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