Markowitz Portfolio Optimization

Modern portfolio theory was pioneered by Harry Markowitz in 1952 and led to him being awarded the Nobel Prize in Economics in 1990. The original essay on portfolio selection has since inspired a multitude of researchers and analysts to develop theories on financial modelling and risk management. Seeking similar inspiration, I studied the classical portfolio optimization technique introduced by Markowitz and applied it to real world data.

Read the blog post here: chaitjo.github.io/markowitz or refer to the technical report for details.