Markowitz Reference Implementation

This repository accompanies the paper Markowitz Portfolio Construction at Seventy. It contains a reference implementation of the Markowitz portfolio optimization problem and the data used in the paper. Please note that the tickers of the stocks have been obfuscated to comply with the data provider's terms of use.

Experiments

Please run all experiments using

make experiments

This first replicates the virtual environment defined in 'requirements.txt' locally and then runs the experiments defined in 'experiments.py'.

Reproducibility

The main packages used are specified in 'requirements.txt', with a frozen version of all packages and their sub-dependencies in 'requirements_frozen.txt'. We used Python 3.10.13 to run the experiments.

A large fraction of our experiments have been performed using MOSEK as the underlying solver. A recent version of it is listed in 'requirements.txt'. We assume a valid license for MOSEK is installed. If not, you may want to apply for a Trial License

Citation

If you want to reference our work in your research, please consider using the following BibTeX for the citation:

@misc{boyd2024markowitz,
      title={Markowitz Portfolio Construction at Seventy},
      author={Stephen Boyd and Kasper Johansson and Ronald Kahn and Philipp Schiele and Thomas Schmelzer},
      year={2024},
      doi = {10.48550/arXiv.2401.05080},
      url = {https://arxiv.org/abs/2401.05080}
}