Compute Your Portfolio Risk In Python

Wouter van Heeswijk, PhD
DataDrivenInvestor
Published in
5 min readJun 21, 2021

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A quick demo to compute the correlation matrix for your portfolio assets, visualize the dependencies, and compute the overall variance.

Photo by Sophie Backes on Unsplash

As we all know, portfolio management ultimately boils down to balancing risk and expected return. If you want to earn more, you have to take more risks. Unfortunately, the…

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Assistant professor in Financial Engineering and Operations Research. Writing about reinforcement learning, optimization problems, and data science.