Black-Litterman &Mean-Variance Optimization & transaction cost using python (ipython or jupyter notebook)

Black-Litterman &Mean-Variance Optimization & transaction cost using python (ipython or jupyter notebook)



PowerPoint Presentation Black-Litterman with T-costs Using CVXOPT (Python coding) you run a simple mean-variance optimization (MVO) using CVXOPT. (a) Modify the code so that expected returns and covariance matrix are computed using Black-Litterman (BL). Assume all inputs for BL are given. In your unit test(s), make your own assumptions for your BL inputs. (b) Modify the code so that it can handle transaction costs. In your unit test, use the Almgren-style market impact function (Almgren et al. 2005) with appropriate parameters. (c) In (a) and (b) you used CVXOPT to solve the resulting MVO problems. Write your own coordinate decent solver for the problems of the for Solution should be submitted by Ipython or Jupiter notebook ### Mean-Variance Optimization in Python using CVXOPT (a) Install CVXOPT in Python, see http://cvxopt.org/index.html (b) Run the example http://cvxopt.org/examples/book/portfolio.html and generate the output. (c) You can download any stock data sets via Yahoo finance or Use given data set Sheet1 PERMNONames DateNames Ending DateShare CodeExchange CodeStandard Industrial Classification CodeCUSIPTicker SymbolCompany NameShare ClassTrading SymbolNorth American Industry Classification SystemPrimary ExchangeTrading StatusSecurity StatusPERMCONasdaq Issue NumberExchange Code HeaderStandard Industrial Classification CodeCUSIP HeaderDeclaration DateAmount After DelistingDate of Delisting PaymentDelisting CodeDate of Next Available InformationPayment DateRecord DateNumber of Shares OutstandingHeader SIC Major GorupHeader SIC Industry GroupDistribution CodeDividend Cash AmountFactor to Adjust PriceFactor to Adjust SharesAcquiring PERMNOAcquiring PERMCONew PERMNODelisting Return Without DividendsDelisting PriceDelisting ReturnNasdaq Traits CodeNasdaq National Market IndicatorMarket Maker CountNasd Index CodeBid or Low PriceAsk or High PricePrice or Bid/Ask AverageVolumeReturnsBidAskShares OutstandingCumulative Factor to Adjust PricesCumulative Factor to Adjust Shares/VolPrice AlternateNASDAQ Number of TradesReturns without DividendsValue-Weighted Return-incl. dividendsValue-Weighted Return-excl. dividendsEqual-Weighted Return-incl. dividendsEqual-Weighted Return-excl. dividendsReturn on the S&P 500 Index 1007820070620113357086681010SUNWSUN MICROSYSTEMS INCSUNW334111QAR80211049733571866810205.055.155.0569071171-0.0098045.055.0635702450.250.255.1426190-0.009804-0.012711-0.012753-0.008315-0.008408-0.013601 1007820070621113357086681010SUNWSUN MICROSYSTEMS INCSUNW334111QAR80211049733571866810200168495.065.185.13972837560.0158425.125.1335702450.250.255.07323320.0158420.0053890.0052350.0023380.0023040.00618 1007820070622113357086681010SUNWSUN MICROSYSTEMS INCSUNW334111QAR80211049733571866810205.085.145.0854387070-0.0097475.085.0935702450.250.255.1119541-0.009747-0.010741-0.010746-0.005932-0.005951-0.012896 1007820070625113357086681010SUNWSUN MICROSYSTEMS 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