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Portfolio Optimization with SAS and Python

Sophia Rowland shows off the sastopypackage:

I started by declaring my parameters and sets, including my risk threshold, my stock portfolio, the expected return of my stock portfolio, and covariance matrix estimated using the shrinkage estimator of Ledoit and Wolf(2003). I will use these pieces of information in my objective function and constraints. Now I will need SWAT, sasoptpy, and my optimization model object.

Read on for a demo.