Portfolio Optimization System Development (Modern Portfolio Theory)
Modern Portfolio Theory (MPT) by Harry Markowitz is a mathematical framework for building optimal portfolio. Central idea: proper diversification allows achieving higher return at the same risk level (or same return at lower risk). Efficient Frontier is the boundary of portfolios with optimal return/risk ratio.
Efficient Frontier for Crypto Portfolio
For cryptoassets, Efficient Frontier shows the set of portfolios offering maximum expected return for each level of risk. We minimize volatility for different target returns, then plot the results.
Develop portfolio optimization system with Markovitz optimization, Black-Litterman model, Risk Parity approach, CVaR optimization, backtesting with walk-forward validation and automatic rebalancing with transaction cost control.