Markowitz Mean-Variance Optimization
Portfolio Builder is a Python program that implements the principles of modern portfolio theory. It generates millions of random portfolio compositions across a chosen asset universe, then identifies the optimal portfolio according to the Markowitz mean-variance model.
Plotting every candidate portfolio in risk-return space traces out the efficient frontier, the boundary where no portfolio can achieve a higher expected return without taking on more risk.
- Monte Carlo generation of millions of candidate allocations
- Expected return, volatility, and Sharpe ratio computed for each portfolio
- Optimal portfolio selection under the Markowitz model