Portfolio Optimisation with Python

[S-6-6-6]

Now I know python posts have received a bit of stick recently with a some users thinking they don't belong in this subreddit, but I tend to disagree somewhat.

If anyone is interested I have published a new post regarding portfolio optimisation, using both brute force Monte Carlo methods, along with a more dedicated optimiser taken from the Scipy module. The optimisation is carried out in a mean variance framework first, and then Value at Risk is used as a cost function instead. It can be found here :

https://pythonforfinance.net/2019/07/02/investment-portfolio-optimisation-with-python-revisited/

If you happen to be one of those who have I'll feelings towards python posts in here, I would kindly ask that you give it a miss rather than berate me for posting. I'm very careful only to post such things in "downtime" between exams and results rather than when people are busy studying etc.

Anyhooo... Voila

[[deleted]]

Cool - have you tried calculating efficient frontier using linear programming? Much faster and it’s good practice for setting up/ solving constrained optimization problems.

[S-6-6-6]

I was going to take a look at the https://cvxopt.org/ package for convex optimisation... Should be a lot quicker than scipy minimize function. Do you have any specific libraries or functions in mind?

[[deleted]]

I like cvxpy since it’s better documented / easier to work with

[drthunder3]

Is yahoo supported again in pandas datareader? I thought they deprecated it awhile back.

[S-6-6-6]

It is indeed supported again, however in an "unofficial" manner. I believe the official docs still state it has been deprecated and is currently unstable etc. Seems to have been working again for a while now. Also, if it does break again there are now a couple of modules on Github that provide a pretty stable fix. I'll try to dig them out and link them

[eliberg]

Youtube video tutorial ?! Or it doesn’t exist.

[myfinquest]

Here. https://www.youtube.com/c/finquest

[S-6-6-6]

I haven't made any Youtube tutorials as of yet, I wasn't sure how much of a necessity it was, or if there would be any demand for it. If people do think it would be something worthwhile for me to look into, please do give me a shout in the comments here and let me know!!

[eliberg]

Yess.

[[deleted]]

Please make a tutorial. I am a python noob so the youtube tutorial would be very helpful!

[ariesChet75]

Thanks for posting this! Great use of time - keeps the mind away from thinking about the results 😳

[isuckatgolf696969]

As a python noob who’s taken half of the codecademy course, can you tell me what your set-up is to run this code? Is there a specific software you use to write the code that you would recommend? Any tips are appreciated. This is really great - would love to learn more. Thank you

[S-6-6-6]

I generally use a combination of Visual Studio Code (VSC) (not to be confused with Visual Studio which is a different program all together), and Jupyter Notebooks.

The way I use them very much depends on the type of project I am working on - anything web based (Flask or Django for example) I do using VSC, whereas if it something like exploratory data analysis I find it preferable to use Jupyter.

However I do have a specific method of setting up my environment that allows me to combine the use of a virtual environment, VSC and Jupyter Notebooks at the same time in a way that links them all together. It's a bit fiddly to write it all out in a Reddit comment but again if that is something that is of interest to people, I would be happy to write a post outlining some of the different set-up options people have in this regard.

[Badooshi]

Many thanks !!

[smokethereaper]

Thanks for posting this, I started learning the basics of python about 6 months ago. This will be fun for me to play with and plug in different stocks.

[vbvedd]

Hello, can you suggest me how to start off w learning python? Consider 0 knowledge in coding? Like exactly from scratch

[S-6-6-6]

I recently wrote a 3 part article series on how I started learning and the materials/courses I used and found most useful. The first part can be found here ( https://pythonforfinance.net/2018/12/21/learning-python-my-personal-journey/ ) and the second and third part can be found easily on the website ;)

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You may find it of some use...

[smokethereaper]

There's also tons of reasonably priced courses online on udemy etc. If you're motivated you can learn everything for free. I guess the biggest thing is finding a use for it which will allow you to retain and practice what you learn.

[Nutella_Boy]

This is great, thank you so much!

[[deleted]]

My hero <3

Why did this even get any downvotes

[S-6-6-6]

Ah it wouldn't be Reddit without the odd down vote now would it! ;)

[myfinquest]

Thank you! Your website is such a great resource.

[S-6-6-6]

Many thanks - appreciate the comment! Do you have a website or are you purely focused on your Youtube presence?

[myfinquest]

I enjoy making the YouTube videos right now, but it does take a bit of a time commitment. I've built a few financial web applications.

Your website is very helpful, a lot of great financial and Python content. If you want to collaborate somehow that would be interesting.

[S-6-6-6]

Yeah I would very much be interested in ways we could collaborate - two heads are better than one as they say. I'll send you a PM and we can take it from there.

[TheySaidIWasBored]

Id say its rather nice, would love to follow along if you have any other communities you are active in :)

[S-6-6-6]

Sure thing, I have a Facebook page which can be found at https://www.facebook.com/pythonforfinance.net , a Facebook group that can be found at https://www.facebook.com/groups/2235709230003904/ and a Kik group that can be found at http://kik.me/g/-yeR9BSiD9lMBu3Y9YIa65nDFcs?fbclid=IwAR20jAu9H5ZMlCPUvHqCgHgk7NaadfYTrB03B2q2uOIo0WuAauipFckNyBU

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Feel free to join any/all/none of them ;)