Efficient Frontier in Python p.2

Part 2: Building the Efficient Frontier in Python

In this series we are building the Efficient Frontier in Python with Dash as a web application over multiple tutorials.

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[连邦-dv]

That's a wondereful serires of video! But I got a little question about the expected return. In the code we use E[x] = Weights * returns * k, it's assumed that's not compound interest? In reality should not that be (1 + weights * returns)^k - 1? Hope get the reply! Sincerely Thanks!

[samasedaghat]

Thank you for this great video! I guess you have missed an important step in your optimization. Actually you minimized the negative sharpe ratio and in the results you had the minimized optimal value for negative sharpe. I think you had to multiply it by another negative at the end when you assign the final results. I think you should have written this line of code like this:
mxSR = - result['fun']

Again, thank you very much for this great video!

[patite]

thanks for the video! Could you do a new video explaining more in detail the risk free rate. From where can we download the risk free rate (RFR)? What happens if the RFR is negative as in many countries the case is? Is a negative RFR in financial models meaningful ie. Sharpe ratio, Black-Scholes formula, CAPM...?. What is the impact of the RFR on your results? Thank you for your amazing channel!!

[finalpurez]

Is there any reason why we choose to minimize the negative sharpe ratio instead of trying to maximize a positive sharpe ratio? I'm very new to this and would really appreciate if anyone could enlighten me, thanks!

[jaspervanhestw]

i get a negative sharp ratio, does this mean i made an error in my code? or that the expected returns of the portfolio are negative?

[tracywang]

Isn't final sharp ratio should be negative?
Also, 0.013 just too low for sharp ratio

[MrSonglu]

Hi Buddy, thanks for the video. One question, after the minimization process, the min negative sharpe ratio should be negative, so that the max sharpe ratio can be positive ?

[phillipraywood]

I don’t recognize your casing standard. Do you code in cpp? Reminds me of cpp code. Is that your first language?

[nadalpieraslopez]

Hello,
First of all thanks for the videos! They are quite helpful
I have a question, I have coded this program to optimise Apple, Pepsi, Waste Management and General Electric. I get a positive returns in all them but GE, and a positive SR 1.06 for the initial weights. When I minimise the negative SR, at the end the max SR the function returns is negative, how can it be? Thanks a lot!

[yinglongliu]

why we are trying to minimize the maximum negative sharpe ratio. Though we are trying to maximize the sharpe ratio. I am saying that why we can't juse use (Portfolio Returns - Risk Free Rate) / Standard Deviation. I don't understand the negative here.

[alexkelso]

Thanks dude! Love your work. Learning so much watching you. Unfortunately I'm getting a kinda brutal error:

'AttributeError: module 'scipy' has no attribute 'minimize''
Has the minimize function been removed in the most recent version of scipy? Everything on Stack Overflow is refers to the 'optimize', but my python environment isn't liking that either....

Sorry, kinda new to this coding business. Any help would be greatly appreciated

[manuelmartinezsantillan]

Thanks for the Video! I'm new on coding but It has been super helpful. I need to ask I did get a negative maxSR, any idea why's this happening?

[johannesambaye]

What do I do if I use more than 3 shares such as 100 shares. Do I then also have to enter the weighting manually so that it results in 100%. So how do I incorporate random weights for a number of stocks to perform the efficient frontier. Thanks
Many greetings
Johannes

[gloryths]

I didn't quite get that alphabetical order to be honest. Thought that it was 100% on BHP

[estaykylyshbek]

Great video!! Could you please also do a portfolio optimization on the Kenneth French 49 Industry daily portforlio?

[vladk]

I'm going to play around with this, mixing in cryptocurrency.
Question is, is there a good way to weigh in a safe percentage for a highly speculative coin that hasn't been in the market for long enough to do a good backtest?

[splendorman]

hey man, thanks for these videos. I dont understand 99% of it but I was wondering if we could apply this to a cryptocurrency portfolio?