Asset Allocation and Portfolio Optimization

Overview

From asset allocation theory to practical implementation, this skill covers classical frameworks (MPT, BL, risk budgeting, all-weather) and the usage of the four optimizers built into this system. The output can be written directly into config.json.

Asset Allocation Theory

1. Modern Portfolio Theory (MPT, Markowitz)

Core idea: maximize expected return for a given level of risk (the efficient frontier).

Optimization problem:
min  w'Σw              (portfolio variance)
s.t. w'μ = target_return
     Σw = 1
     w ≥ 0              (no shorting)