{"id":621,"date":"2018-11-07T23:13:09","date_gmt":"2018-11-07T22:13:09","guid":{"rendered":"https:\/\/www.pschatzmann.ch\/home\/?p=621"},"modified":"2020-11-21T22:22:50","modified_gmt":"2020-11-21T21:22:50","slug":"investor-portfolio-optimization","status":"publish","type":"post","link":"https:\/\/www.pschatzmann.ch\/home\/2018\/11\/07\/investor-portfolio-optimization\/","title":{"rendered":"Investor &#8211; Portfolio Optimization"},"content":{"rendered":"<p>Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. The objective typically maximizes factors such as expected return, and minimizes costs like financial risk.<\/p>\n<p>In this Blog we demonstrate how the<span>\u00a0<\/span><a href=\"https:\/\/www.pschatzmann.ch\/home\/category\/quantitative-trading\/\">Invstor API<\/a><span>\u00a0<\/span>can be used to determine an optimized &#8216;Strategy Portfolios&#8217;. We use the RandomDistributor to generate randomly distributed porfolios and the KPIValues in order to determine the best combination. In our example we will optimize the &#8216;Sharpe Ratio&#8217;!<\/p>\n<p>We are using Jupyter with the<span>\u00a0<\/span><a href=\"http:\/\/beakerx.com\/\">BeakerX<\/a><span>\u00a0<\/span>Scala kernel. The document can be found at the following <a href=\"https:\/\/nbviewer.jupyter.org\/gist\/pschatzmann\/3d05520c2ee0fc23ed44a9d57d222d9a\">gist<\/a>!<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. The objective typically maximizes factors such as expected return, and minimizes costs like financial risk. In this Blog we demonstrate how the\u00a0Invstor API\u00a0can be used [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_crdt_document":"","_import_markdown_pro_load_document_selector":0,"_import_markdown_pro_submit_text_textarea":"","_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[13],"tags":[],"class_list":["post-621","post","type-post","status-publish","format-standard","hentry","category-quantitative-trading"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Investor - Portfolio Optimization - Phil Schatzmann<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.pschatzmann.ch\/home\/2018\/11\/07\/investor-portfolio-optimization\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Investor - Portfolio Optimization - Phil Schatzmann\" \/>\n<meta property=\"og:description\" content=\"Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective. 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