Thursday, September 1, 2011

Modern Portfolio Theory - A Python Implementation

I was surprised last week to find there was no accessible Python implementation of the calculation of the Efficient Frontier (as defined by Markowitz in his presentation of Modern Portfolio Theory ~1957).* Since the problem seemed simple to solve with the tools at hand, I set out to "right the wrong" and develop an open implementation (available under an open, BSD license via github) that meets my needs.

In the process of building the basic metrics, I was able to experiment with NumPy's datetime support -- as mentioned in my earlier post. The API's are still a bit in flux, but I thought I would write up a full workflow using the tools as they are. I would greatly appreciate feedback/contributions/suggestions.  So let's dive in ...