- A financial portfolio optimization model in Python, where investments are made in various assets (stocks, bonds, index funds) using the Mean absolute Deviation Markowitz model. - Applied to real time data obtained for a period of over 24-months. - Final Product: We have created an interactive decision support system which allows a user to choose an acceptable risk level, total investment amount, and re-balancing intervals. - A graphical representations of investment and portfolio health is shown.

1. SRUJAN REDDY REDDY
ARYAVEER SINGH
GLENN SOLOMON
VISHAL SHELKE
KARTHEEK REDDY DHARAM
ALI BARAN GUVENAL
Finance Portfolio Optimization

2. You should invest in one type of instrument if you are
this guy in the year 2007. Which is not the case, so the
need for Portfolio Optimization

3.  “Don’t put all your eggs in one basket.”
We all agree that holding two stocks is less risky as compared to one
stock. But building the Optimal Portfolio is very difficult. Markowitz
provides an answer to it with the help of Risk and Expected return
relationship.
Markowitz Model

4.  We all agree that holding two stocks is less risky as compared to one. But building an
optimal finance portfolio is very difficult. Markowitz provides an answer to it with the
help of risk and return relationship.
 In developing the model, Markowitz has given up the Single stock portfolio and
introduced Diversification. And in today’s ever changing scenario we cannot be certain
about anything in the Finance world and hence Diversification provides a safer play
ground for investors.
Finance Optimization Model Overview

5.  Increase Expected Return
Considering the Following
1. Controlled Risk
2. Diversified Investment
3. Maximum Utilization of funds
4. Bonds greater than 10% & ETF less than 5%
Goals of a Portfolio Optimization Model
(Markowitz)

6.  Stocks (Moderately Risk varies from one stock to the other)
 Bonds (Stable)
 ETF( Exchange Traded Fund) (Highly Volatile & Risky )
Diversification

7. Efficient Frontier
Set of best portfolios that offers the maximum possible Return for a given level of Risk

8.  Instrument I – Stocks
Initial Pool of 480 stocks , S&P 500
Source :- Yahoo Finance
 Instrument II –ETFS Stocks
Initial Pool 33 states Data
Source :- Yahoo Finance
 Instrument III – Bonds
Initial Pool of 10
Source: - Yahoo Finance
Instrument Data Collection

9. Decision Support System

10. Graphical Representation of Investment &
Portfolio Health

11. Portfolio Scaled to Large Number of Assets

12.  Solver
Gurobi
 Data Collection
R Statistical Programming
Yahoo Finance (Source)
 Modelling
Python
 Front End
JavaScript & HTML
 Code Link :- https://github.com/rssrujan/porfolio-optimization
Technologies Used

13. Thank You