Portfolio Optimiser
Budget: $40 – $50 USD
I want to get a code written in python for the below outlined project.
Information:
Data I have:
-Time series of 600 stocks.
-Time series of an Index
Objective
To find the optimal portfolio using the 600 stock reduces the tracking error against the given index, subject to the below constraints.
- Maximum 15 stocks allowed
- Stocks rebalanced on a monthly basis
- A given stock has to have at least three years history at the time of trading.
Desired output
The thirty optimal portfolios for a given data, where optimal is defined by the information ratio. i.e Outperformance / Tracking Error
Information:
Data I have:
-Time series of 600 stocks.
-Time series of an Index
Objective
To find the optimal portfolio using the 600 stock reduces the tracking error against the given index, subject to the below constraints.
- Maximum 15 stocks allowed
- Stocks rebalanced on a monthly basis
- A given stock has to have at least three years history at the time of trading.
Desired output
The thirty optimal portfolios for a given data, where optimal is defined by the information ratio. i.e Outperformance / Tracking Error