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Fresh Off The Presses:

I’ve been writing a series on constructing optimal investment portfolios on Towards Data Science:

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Use Python To Calculate The Optimal Portfolio With Constraints

Note from Towards Data Science’s editors: While we allow independent authors to publish articles in accordance with our rules and guidelines, we do not endorse each author’s contribution. You should not rely on an author’s works without seeking professional advice. See our Reader Terms for details.

Not intended to be investment advice. You can find my code on my GitHub here.

Time for another article on portfolio optimization since I’ve been doing a lot of work around it lately. In case you need a refresher, here are my previous writings on the topic:

As fun as it is to optimize a portfolio with just matrix algebra and NumPy, sometimes we need to add constraints. For example, many investors don’t want to or are not allowed to short investments. We can’t guarantee that the optimal portfolio produced using matrix algebra won’t include short positions (negative weights). So instead, we turn to optimization. …

A huge week of corporate earnings is coming up (Google, Apple, Amazon, Facebook, etc.). We are also on the verge of election week.

And on top of all that, sadly COVID-19 new cases are surging again, hitting more than 80,000 new cases the past two days. This surge cannot be just attributed to more testing. Parts of Europe (Italy and Spain) are locking down again as they combat new surges in infections.

Instead of trying to write similar words again, I will be lazy and quote myself from a previous post on September 1, 2020:

But right now, the general public seems too eager to declare the virus beaten and the recession over. …


Tony Yiu

Lead Data Scientist @Solovis, Doing my Best to Explain Data Science and Finance in Plain English. Follow my publication at: https://medium.com/alpha-beta-blog

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