Tagged Questions

6
votes
5answers
342 views

portfolio optimization from empirical return distributions

I'd like to do a portfolio optimization of a set of ETF's but want to avoid traditional problems with normality assumptions in returns etc. Are there techniques that let me sample 'draws' from the ...
13
votes
5answers
3k views

Python library for Portfolio Optimization

Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...