A complete framework covering portfolio construction, optimization, and risk management.
🌟 Project Highlights:
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Mean-Variance Optimization (MVO): Constructing the efficient frontier and optimal portfolios.
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Monte Carlo Simulation: Generating thousands of random portfolios to visually demonstrate the return-risk trade-off.
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Risk Model: Risk parity allocation combined with the Black–Litterman framework incorporating investor views.
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Backtesting: Adaptive scaling based on market conditions (bull, bear, and sideways markets).
📈 Core Conclusions:
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The maximum Sharpe ratio portfolio consistently outperforms simple benchmarks.
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Risk parity significantly reduces drawdowns through balanced exposure.
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The Black–Litterman model integrates market equilibrium with personal insights, enhancing allocation flexibility.
🔗 The complete project (including code and charts) is open-sourced:👉https://github.com/anemer-astro/portfolio-optimization