Portfolio-Optim.jl
Financial portfolio optimization in Julia
Here, we can generate our portfolio and optimize the allocations using the two supported optimizers: EfficientFrontier and MonteCarloOptimizer.
using PortfolioOptim
tickers = ["GOOG", "DIS", "FB", "AMZN", "AAPL", "TSLA"]
portfolio = build_portfolio(tickers, "2020-01-01", "2022-01-01")
target_returns = collect(0.1:0.01:0.8)
EF_results = EfficientFrontier(portfolio, target_returns)
MC_results = MonteCarloOptimizer(portfolio)
Here, we visualize the results from our portfolio optimization,
