get_most_diversified_portfolio

EfficientFrontier.get_most_diversified_portfolio(target_return=None)

Calculate assets weights and portfolio metrics for the most diversified portfolio within bounds.

The most diversified portfolio is defined as the portfolio with the maximum Diversification Ratio.

Parameters:

target_returnfloat, default None

Target Compound Annual Growth Rate (CAGR) for the portfolio. If provided, the optimizer searches for a portfolio with the target CAGR and the maximum Diversification Ratio. If None, the global most diversified portfolio is returned.

Returns:

dict[str, float]

Mapping with asset weights (keys are tickers or asset names depending on ticker_names) and portfolio metrics: ‘CAGR’, ‘Risk’, and ‘Diversification ratio’.

Examples

>>> ls4 = ["SPY.US", "AGG.US", "VNQ.US", "GLD.US"]
>>> x = ok.EfficientFrontier(assets=ls4, ccy="USD", last_date="2021-12")
>>> x.get_most_diversified_portfolio()  # get a global most diversified portfolio
{'SPY.US': 0.19612726258395477,
'AGG.US': 0.649730553241489,
'VNQ.US': 0.020096313783052246,
'GLD.US': 0.13404587039150392,
'CAGR': 0.062355715886719176,
'Risk': 0.05510135025563423,
'Diversification ratio': 1.5665720501693001}

It is possible to get the most diversified portfolio for a given target CAGR.

>>> x.get_most_diversified_portfolio(target_return=0.10)
{'SPY.US': 0.3389762570274293,
'AGG.US': 0.12915657041748244,
'VNQ.US': 0.15083042115027034,
'GLD.US': 0.3810367514048179,
'CAGR': 0.09370688842211439,
'Risk': 0.11725067815643951,
'Diversification ratio': 1.4419864802150442}