Papers by Geoffrey Kasenbacher
This paper provides an introduction to Modern Portfolio Theory (MPT) and compares two fundamental... more This paper provides an introduction to Modern Portfolio Theory (MPT) and compares two fundamental models: Markowitz's Mean-Variance model and Konno's Mean-Absolute Deviation model. We implemented the models using Python as an array of software packages for solving complex programming problems was readily available. Using historical data from the S&P 500, we compareded the computed optimal portfolios and find that Mean Absolute Deviation model outperforms the Mean-Variance model.
Find the code here: https://github.com/kgeoffrey/Portfolio-Optimization
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Papers by Geoffrey Kasenbacher
Find the code here: https://github.com/kgeoffrey/Portfolio-Optimization
Find the code here: https://github.com/kgeoffrey/Portfolio-Optimization