Markowitz Portfolio Optimization App!

đź’¬ Show the Community!
1

Hello Streamlit Community,

I’m excited to share with you the Markowitz Portfolio Optimization app: https://markowitz.streamlit.app

This app lets you choose a minimum return and find the best portfolio mix using Markowitz Portfolio Optimization. You can pick from a variety of funds, including T-Bills, Corporate Credit, High Yield, AT1/Hybrid Bonds, Equities, or Hedge Funds. The app displays the optimal portfolio’s risk and return on a scatter chart alongside the original funds. It also provides a historical backtest, expected future returns, the minimum expected return at a 95% confidence level, and the likelihood of negative returns. For those who like to dive deeper, you can modify assumptions about fund correlations, expected returns, and volatilities, with default values based on past performance.

I’d love to hear your feedback and hope you enjoy using the app as much as I enjoyed creating it.
/Marek

3 Likes
2

Nice app :slightly_smiling_face:

3

The new version is now available at https://markowitz.streamlit.app/.

The optimal portfolio statistics are displayed in a table, which includes the probabilities of negative returns for different periods, expected returns, and the 95% lowest expected return. I’ve also added a page that shows the underlying fund exposures.

Streamlit rocks! It’s fun to work with!!!
/Marek

2 Likes
4

New version of Markowitz Optimization app is now available.

Fund Info TAB is improved and includes also monthly performance table in standard format:

Markowitz-Fund-Info-TAB-with-perf-table
Markowitz-Fund-Info-TAB-with-perf-table775Ă—546 32.9 KB

Thanks for your interest and support!

2 Likes