Optimización de un portafolio con Python

José Francisco  Martínez-Sánchez; Salvador Cruz-García; Julissa Itzel  López-Castillo

doi:10.29057/icbi.v9i17.6807

José Francisco Martínez-Sánchez Universidad Autónoma del Estado de Hidalgo https://orcid.org/0000-0001-7056-1856
Salvador Cruz-García Universidad Autónoma del Estado de Hidalgo https://orcid.org/0000-0001-9153-657X
Julissa Itzel López-Castillo Universidad Autónoma del Estado de Hidalgo https://orcid.org/0000-0002-9635-7121

DOI: https://doi.org/10.29057/icbi.v9i17.6807

Keywords: Markowitz theory, optimal portfolio, efficient frontier, Python, Jupyter Notebook

Abstract

Motivation: The goal of a rational investor is to maximize portfolio return and minimize portfolio risk. Methodology: Markowitz portfolio optimization theory is used to obtain by the Python programming language the optimal portfolio on the efficient frontier. This optimal portfolio corresponds to the point with the highest Sharpe ratio. To generate the efficient frontier with the feasible portfolios, multiple investment portfolios are simulated by implementing a code in Python with Jupyter Notebook. Results: The optimal composition of a portfolio constructed with Mexico Government Bonds, ETF’s, and shares of Wal-Mart Inc’s Mexico, is determined by a Sharpe ratio of 0.85; the portfolio has an expected return of 9.53% with a volatility of 6.55%.

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Author Biographies

José Francisco Martínez-Sánchez, Universidad Autónoma del Estado de Hidalgo

Julissa Itzel López-Castillo, Universidad Autónoma del Estado de Hidalgo

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