{"id":1338,"date":"2021-01-13T23:45:44","date_gmt":"2021-01-13T23:45:44","guid":{"rendered":"http:\/\/lucylabs.gatech.edu\/ml4t\/?page_id=1338"},"modified":"2021-01-14T02:21:01","modified_gmt":"2021-01-14T02:21:01","slug":"project-2","status":"publish","type":"page","link":"https:\/\/lucylabs.gatech.edu\/ml4t\/spring2021\/code-documentation\/project-2\/","title":{"rendered":"Project 2"},"content":{"rendered":"\n\n\n[et_pb_section fb_built=”1″ _builder_version=”3.22″][et_pb_row _builder_version=”3.25″ background_size=”initial” background_position=”top_left” background_repeat=”repeat”][et_pb_column type=”4_4″ _builder_version=”3.25″ custom_padding=”|||” custom_padding__hover=”|||”][et_pb_text _builder_version=”4.5.6″ background_size=”initial” background_position=”top_left” background_repeat=”repeat” hover_enabled=”0″]
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Project 2: Optimize Something Documentation<\/h1>\n

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optimization.py<\/span><\/h2>\n

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optimize_portfolio<\/code>(<\/span>sd=datetime.datetime(2008, 1, 1, 0, 0), ed=datetime.datetime(2009, 1, 1, 0, 0), syms=[‘GOOG’, ‘AAPL’, ‘GLD’, ‘XOM’], gen_plot=False<\/em>)<\/span><\/dt>\n

This function should find the optimal allocations for a given set of stocks. You should optimize for maximum Sharpe
Ratio. The function should accept as input a list of symbols as well as start and end dates and return a list of
floats (as a one-dimensional numpy array) that represents the allocations to each of the equities. You can take
advantage of routines developed in the optional assess portfolio project to compute daily portfolio value and
statistics.<\/p>\n

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Parameters<\/dt>\n
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