Optimal portfolios across several assets: global minimum variance, maximum Sharpe and the full efficient frontier, with Monte Carlo simulation and technical analysis.
1. Price data
Data source
3. Technical analysis
Price of a single asset, with 8- and 15-period moving averages.
Chart type
Returns and risks are annualized by scaling linearly by 252 trading days, under the standard assumption of independent and identically distributed daily returns. Optimal portfolios are computed by projected gradient descent on the weight simplex (no short selling), which converges to the global optimum because the problem is convex.
Developed by Luis Ángel Meneses Cerón
Financial data: Yahoo Finance.
Academic tool. It does not constitute financial advice or an investment recommendation.