Notice: This page requires JavaScript to function properly.
Please enable JavaScript in your browser settings or update your browser.Challenge: Computing MSR Portfolio | Portfolio Optimization Basics
Introduction to Financial Portfolio Management with Python
course content

Course Content

Introduction to Financial Portfolio Management with Python

Introduction to Financial Portfolio Management with Python

1. Portfolio Analysis Basics
Investing BasicsWhat is Portfolio?Portfolio ReturnsMeasuring Risk of PortfolioChallenge: Annualized Return and Risk
2. Portfolio Optimization Basics
Risk Adjusted ReturnOverview of Modern Portfolio TheoryMarkowitz PortfoliosChallenge: Computing GMV PortfolioChallenge: Computing MSR Portfolio
3. Factor Investing
Introduction to Factor AnalysisChallenge: The Capital Asset Pricing ModelThe Fama-French Factor ModelChallenge: The 5-factor Model

Challenge: Computing MSR Portfolio

After we've computed GMV portfolio in the previous chapter, it's time to compute MSR portfolio, which provides the highest Sharpe ratio, which could be computed, using the following expression:

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Switch to desktop for real-world practiceContinue from where you are using one of the options below

Everything was clear?

Section 2. Chapter 5
toggle bottom row

Challenge: Computing MSR Portfolio

After we've computed GMV portfolio in the previous chapter, it's time to compute MSR portfolio, which provides the highest Sharpe ratio, which could be computed, using the following expression:

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Switch to desktop for real-world practiceContinue from where you are using one of the options below

Everything was clear?

Section 2. Chapter 5
toggle bottom row

Challenge: Computing MSR Portfolio

After we've computed GMV portfolio in the previous chapter, it's time to compute MSR portfolio, which provides the highest Sharpe ratio, which could be computed, using the following expression:

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Switch to desktop for real-world practiceContinue from where you are using one of the options below

Everything was clear?

After we've computed GMV portfolio in the previous chapter, it's time to compute MSR portfolio, which provides the highest Sharpe ratio, which could be computed, using the following expression:

Task

  1. Compute sum of weighted returns in order to compute overall portfolio return while computing Sharpe ratio.
  2. Get overall optimization info for MSR portfolio.
  3. Iterate through optimal weights for MSR portfolio in order to round them for a 6 digits after coma.

Switch to desktop for real-world practiceContinue from where you are using one of the options below
Section 2. Chapter 5
Switch to desktop for real-world practiceContinue from where you are using one of the options below
We're sorry to hear that something went wrong. What happened?
some-alt