Beating the ETF: Portfolio Optimisation using Python (…and some linear algebra)

Roman Shemet
Towards Data Science
7 min readJun 13, 2020

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This story covers:
1) What is a Markowitz mean/variance-optimised portfolio
2) How to compute one using Python (
GitHub source code provided)
3) How to back-test your strategy against an established market-traded fund

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MSc Financial Economics at the University of Oxford. Interested in Finance and Data Science. Triathlon, Chess & Blues enthusiast.