ValueMPT: Value Stock Selection with MPT Portfolio Optimization
ValueMPT is an intelligent multi-agent system that combines Benjamin Graham's value investing principles for stock selection with Modern Portfolio Theory (MPT) for portfolio optimization.
Project Overview
This system implements a two-stage approach to investment:
- Stock selection using Graham's value investing principles
- Portfolio optimization of selected stocks using Modern Portfolio Theory
The system consists of several AI agents working in two main phases:
Phase 1: Value Stock Selection
- Fundamental Analysis Agent
- Margin of Safety Calculator
- Market Sentiment Analyzer
Phase 2: Portfolio Optimization
- Modern Portfolio Theory Optimization Agent
- Risk Management Agent
- Portfolio Rebalancing Agent
Features
- Fundamental stock analysis using key financial ratios
- Margin of safety calculations for potential investments
- Market sentiment analysis for contrarian opportunities
- Portfolio optimization based on MPT principles
- Risk assessment and management
- Automated portfolio rebalancing suggestions
To-Do List
Phase 1: Value Stock Selection
- [ ] Implement data fetching and preprocessing for financial ratios
- [ ] Develop Fundamental Analysis Agent
- [ ] Implement ratio calculations (P/E, P/B, Debt-to-Equity, ROE, etc.)
- [ ] Create stock screening based on Graham's criteria
- [ ] Create Margin of Safety Calculator
- [ ] Implement intrinsic value estimation
- [ ] Develop margin of safety calculation
- [ ] Implement Market Sentiment Analyzer
- [ ] Develop sentiment analysis algorithm
- [ ] Create contrarian opportunity identifier
Phase 2: Portfolio Optimization
- [ ] Develop Modern Portfolio Theory Optimization Agent
- [ ] Implement expected return and standard deviation calculations
- [ ] Create efficient frontier generator
- [ ] Develop optimal portfolio selector
- [ ] Implement Risk Management Agent
- [ ] Develop systematic risk analysis
- [ ] Implement unsystematic risk identification
- [ ] Develop Portfolio Rebalancing Agent
- [ ] Implement portfolio tracking
- [ ] Create rebalancing suggestion algorithm
General Tasks
- [ ] Set up project structure and environment
- [ ] Integrate all agents into a cohesive system multi-agent-workflows
- [ ] Develop user interface for interacting with the system chainlit
- [ ] Write comprehensive documentation mkdocs
- [ ] Implement unit tests and integration tests
- [ ] Perform system testing and optimization
- [ ] Create user guide and API documentation fastapi
Disclaimer
This project is for educational purposes only. It is not financial advice. Always conduct your own research and consult with a qualified financial advisor before making investment decisions.
Approach
- The Value Stock Selection phase uses Graham's principles to identify fundamentally sound, potentially undervalued stocks.
- The Portfolio Optimization phase then applies MPT to optimize the allocation among these selected stocks for a given risk tolerance.
This approach aims to combine the strengths of value investing in stock selection with the portfolio-level insights of MPT, providing a more robust investment strategy.