Current markowitz algorithm is taken from Quantopian. However, it will only optimize for maximal Sharpe ratio.
We should add the following optimisation objectives as well: Minimal volatility, maximum Sharpe for a given target risk, maximum Sharpe for a given target return, etc
This seems to be found in the library PyPortfolioOpt, so maybe we can just switch to call this library and adapt the existing code. Example usage for this library is also captured by mayabenowitz
Current markowitz algorithm is taken from Quantopian. However, it will only optimize for maximal Sharpe ratio.
We should add the following optimisation objectives as well: Minimal volatility, maximum Sharpe for a given target risk, maximum Sharpe for a given target return, etc
This seems to be found in the library PyPortfolioOpt, so maybe we can just switch to call this library and adapt the existing code. Example usage for this library is also captured by mayabenowitz