Worked with a team of 4 people total to find methods to optimize a portfolio with an arbitrary number of assets. Used a gradient based constrained optimization algorithm to find the optimal portfolio allocation given n stocks. Descent direction determined using “generalized gradients”. Constraints were 1) the sum of allocations must equal total capital available and 2) only long positions are allowed.
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Worked with a team of 4 people total to find methods to optimize a portfolio with an arbitrary number of assets. Used a gradient based constrained optimization algorithm to find the optimal portfolio allocation given n stocks. Descent direction determined using “generalized gradients”.
Raafi101/PortfolioOptimization
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Worked with a team of 4 people total to find methods to optimize a portfolio with an arbitrary number of assets. Used a gradient based constrained optimization algorithm to find the optimal portfolio allocation given n stocks. Descent direction determined using “generalized gradients”.
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