Optimizing a Portfolio of Models
Published in
7 min readFeb 16, 2022
In this colab notebook I provide an example of the use of the precise Python package (and PyPortfolioOpt) to create a diversified portfolio of scikit-learn models fitted using LazyPredict.
Background
For now, I’m content to draw the reader’s attention to the close parallels between financial portfolio construction and model ensembles. A linear combination of models is…