Portfolio optimizer
Build the efficient frontier from historical returns, read off the max-Sharpe and minimum-variance weights, and watch Ledoit-Wolf shrinkage pull a naive Markowitz allocation back from over-concentration.
Optimize a portfolio
Computing the efficient frontier and Markowitz weights.
Efficient frontier
Each point is a sampled portfolio; the curve is the minimum volatility for each return level. ★ max-Sharpe (tangency) · ◆ min-variance.
Expected returns are historical means. Naive Markowitz is very sensitive to them, so it over-concentrates in whatever ran hardest. Treat the weights as illustrative; desks temper this with shrinkage or Black-Litterman.
★ Max-Sharpe portfolio
◆ Min-variance portfolio
Correlation matrix
Pairwise Pearson correlation of daily returns. Green is positive, red is negative.