Portfolio Optimization (Markowitz Model)

[WORK IN PROGRESS] This project is currently under development.

Project Overview

This project implements the Modern Portfolio Theory (MPT) introduced by Harry Markowitz. The goal is to mathematically analyze a universe of financial assets to construct an "Efficient Frontier" and identify the optimal investment portfolio that maximizes expected returns for a given level of risk.

Tech Stack (Planned)

• Python
• SciPy (Optimization routines)
• Pandas & NumPy
• Matplotlib / Plotly (Interactive charts)

To-Do List

• Outline the mathematical approach.
• Fetch historical asset data (equities, bonds, etc.).
• Calculate expected returns and the covariance matrix.
• Implement optimization algorithms to find the Efficient Frontier.
• Plot the Efficient Frontier and highlight the optimal Sharpe Ratio.
• Document the mathematical theory behind the code.