Mean-Variance Optimizer

Assets and data

FYERS symbols

A plain name such as RELIANCE means NSE:RELIANCE-EQ. For anything else use the full form, e.g. NSE:NIFTYBEES-EQ or NSE:NIFTY50-INDEX.

History

Frequency

Checking FYERS connection...

Or load a CSV instead

The CSV contains

File

Or paste rows with a header line

Daily, weekly or monthly is detected from the dates. Oldest row first or last both work.

Optimization

Objective

Min weight (%)

Max weight (%)

Allow short selling

Frontier points

Efficient frontier

Frontier Capital allocation line Assets Min variance Max Sharpe Selected

Allocation

Correlation

-1+1

How the numbers are built

Returns. Simple period returns from adjusted close, so dividends and splits are included. The mean is multiplied by the periods per year (252, 52 or 12).

Covariance. Sample covariance of the same returns, scaled the same way. Ledoit-Wolf pulls it toward a scaled identity matrix, which steadies the weights when history is short.

Optimizer. Quadratic program with a full-investment constraint and per-asset weight bounds. Maximum Sharpe is found by searching along the frontier.

Caution. Weights are very sensitive to expected-return estimates. Treat output as an input to judgment, not advice.