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.
Task
Swipe to start coding
In this task you need to:
- Choose right shape for array of weights.
- Compute array of Sharpe ratios.
- Find index of necessary weights in the right way.
- Choose optimal weights and corresponding Sharpe ratio.
Solution
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SectionΒ 2. ChapterΒ 5
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Challenge: Computing MSR Portfolio
Swipe to show menu
After we've computed GMV portfolio in the previous chapter, it's time to compute MSR portfolio, which provides the highest Sharpe ratio.
Task
Swipe to start coding
In this task you need to:
- Choose right shape for array of weights.
- Compute array of Sharpe ratios.
- Find index of necessary weights in the right way.
- Choose optimal weights and corresponding Sharpe ratio.
Solution
Everything was clear?
Thanks for your feedback!
Awesome!
Completion rate improved to 6.25SectionΒ 2. ChapterΒ 5
single