DECISION LAB

Portfolio

Interactive portfolio construction and optimization tools. From mean-variance to Black-Litterman to risk parity, with production-ready implementations.

8 Tools Interactive

4 Chapters Source

12 Exercises BUILD

MARKOWITZ OPTIMIZATION

min w'Sw subject to w'� = r, w'1 = 1

Minimize portfolio variance for a given target return. The mathematical foundation of modern portfolio theory.

Interactive Tools

Efficient Frontier Builder

Trace the efficient frontier from minimum variance to maximum return portfolios.

Interactive frontier curve
Capital market line overlay
Portfolio composition viewer

Black-Litterman Engine

Combine equilibrium returns with your views to generate optimal portfolios.

View specification interface
Confidence calibration
Prior/posterior comparison

Risk Parity Optimizer

Build equal risk contribution portfolios with various risk measures.

Volatility-based risk parity
CVaR risk parity
Risk budgeting extension

Constraint Manager

Define and visualize portfolio constraints�sector, position, turnover, ESG.

Box constraints
Group constraints
Turnover limits

Rebalancing Simulator

Compare calendar vs. threshold rebalancing with transaction cost modeling.

Calendar schedules
Tolerance bands
Cost-benefit analysis

Factor Exposure Analyzer

Decompose portfolio risk into factor contributions with tilt visualization.

Factor loadings chart
Risk contribution pie
Benchmark comparison

BUILD Exercises

BUILD 1

Mean-Variance Optimization with cvxpy

Implement quadratic portfolio optimization with box constraints

FOUNDATIONAL

BUILD 2

Black-Litterman Implementation

Build the full B-L model with equilibrium prior and view blending

INTERMEDIATE

BUILD 3

Risk Parity Portfolio

Construct equal risk contribution portfolio using numerical optimization

INTERMEDIATE

BUILD 4

Transaction Cost-Aware Rebalancing

Optimize rebalancing frequency considering implementation costs

ADVANCED

BUILD 5

Multi-Period Portfolio Optimization

Extend single-period to multi-period with dynamic programming