Harry M. Markowitz is the founder of Modern Portfolio Theory (MPT) which originated from his 1952 essay on portfolio selection. In this post, we are going to provide a concrete example of implementing MPT in Python. Our portfolio consists of 3 Exchange Traded Funds (ETF): SPY, TLT, and GLD which track the S&P500, long-term Treasury bond, and gold respectively.

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Modern Portfolio Theory-Portfolio Management in Python

We are a boutique financial service firm specializing in quantitative analysis, derivatives valuation and risk management.

Modern Portfolio Theory-Portfolio Management in Python

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