I want to build a model for asset allocation of my own personal pension in ETFs across four main asset classes: equity, bonds, commodity and property. I am familiar with Python and the basics of risk return maximization. What would be a good place to start building this model? Also more practically where can one get historical performance data for these funds? Thanks

  • $\begingroup$ Possibly on hold since question seems too broad. I think you should find a more specific question to ask after doing some more research into data sources (can be found on quant SE) and asset allocation models that are already existing. I'd start with looking into CAPM, Fama French, and Black Litterman if you need some basics. $\endgroup$
    – Slade
    Mar 10, 2019 at 12:58
  • $\begingroup$ There are tools that will let you test ETF portfolios without any programming portfoliovisualizer.com $\endgroup$
    – nbbo2
    Mar 10, 2019 at 14:10
  • $\begingroup$ I will add Mean-cVaR model also to @slade 's list. Also, it require a lot of programming to code a robust model. Consider using the link by noob2 $\endgroup$
    – Sanjay
    Mar 10, 2019 at 15:16


Browse other questions tagged or ask your own question.