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PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio

Author

Listed:
  • Alan Mustafa

    (IEEE)

  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

Python

Abstract

Portfolio diversification is an important instrument utilized regularly by investors and financial institutions for reducing financial risk. However, the number of assets included in the portfolio is usually assumed to be known exogenously. The current software is constructed in Python for dealing with this issue endogenously. It creates all potential combinations of portfolios using a given set of assets and ranks them based on the highest return per unit of risk for each portfolio. Thus, the investor can detect methodically the optimal portfolio amongst all possible ones. The module provides a graphical user interface (GUI) that makes its implementation straightforward. Two methods are used to find the budget shares for each portfolio (i) Markowitz (1952) and (ii) Hatemi-J, Hajji and El-Khatib (2022).

Suggested Citation

  • Alan Mustafa & Abdulnasser Hatemi-J, 2024. "PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio," Statistical Software Components P00004, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:p00004
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/p/PyDDOP.txt
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