January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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How to do it...
Execute the following steps to create and evaluate the 1/n portfolio.
- Import the libraries:
import yfinance as yfimport numpy as npimport pandas as pdimport pyfolio as pf
- Set up the parameters:
RISKY_ASSETS = ['AAPL', 'IBM', 'MSFT', 'TWTR']START_DATE = '2017-01-01'END_DATE = '2018-12-31'n_assets = len(RISKY_ASSETS)
- Download the stock prices from Yahoo Finance:
prices_df = yf.download(RISKY_ASSETS, start=START_DATE, end=END_DATE, adjusted=True)
- Calculate individual asset returns:
returns = prices_df['Adj Close'].pct_change().dropna()
- Define the weights:
portfolio_weights = n_assets * [1 / n_assets]
- Calculate the portfolio returns:
portfolio_returns = pd.Series(np.dot(portfolio_weights, returns.T), index=returns.index) ...
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