Finding the optimal portfolio of securities in a set of assets
Автор: Guk K.O., Myltcina O.A.
Журнал: Труды Московского физико-технического института @trudy-mipt
Рубрика: Информатика и управление
Статья в выпуске: 3 (55) т.14, 2022 года.
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In this work, we construct portfolios with the best performance using R and Python languages. Portfolios containing four assets are investigated. Profitability, risk of portfolios and the Sharpe ratio are compared. The behavior of portfolios with fixed weights and various assets as well as fixed assets and various weights is studied. The problem of finding the best weights and assets more quickly is solved.
Optimal portfolio, set of assets, sharpe ratio
Короткий адрес: https://sciup.org/142236474
IDR: 142236474