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Learn Challenge: Computing MSR Portfolio | Portfolio Optimization Basics
Introduction to Portfolio Management with Python

bookChallenge: 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:

  1. Choose right shape for array of weights.
  2. Compute array of Sharpe ratios.
  3. Find index of necessary weights in the right way.
  4. Choose optimal weights and corresponding Sharpe ratio.

Solution

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SectionΒ 2. ChapterΒ 5
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bookChallenge: Computing MSR Portfolio

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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:

  1. Choose right shape for array of weights.
  2. Compute array of Sharpe ratios.
  3. Find index of necessary weights in the right way.
  4. Choose optimal weights and corresponding Sharpe ratio.

Solution

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Everything was clear?

How can we improve it?

Thanks for your feedback!

close

Awesome!

Completion rate improved to 6.25
SectionΒ 2. ChapterΒ 5
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single

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