Portfolio Construction Optimizer

Keywords: SciPy, optimize objective, Sharpe and Sortino ratios, industry constraints

This project is a part of another project on building an ETF stock selector. It was done as a part of the NTU Quantitative Asset Management Club. It can be found on GitHub.

Built an optimizer using SciPy to construct an optimized portfolio on a rolling basis using custom-defined constraints, like maximum weights for a particular industry or a maximum permitted weights turnover between periods, for a given objective function, like maximizing the Sharpe or Sortino ratio.