Implement portfolio optimization simulation
Company: DRW
Role: Machine Learning Engineer
Category: Coding & Algorithms
Difficulty: Medium
Interview Round: Take-home Project
##### Question
Given price-return time series in a DataFrame, simulate random portfolio weights, compute expected return, volatility, Sharpe ratio, and return the weight vector that maximizes the Sharpe ratio.
Quick Answer: This question evaluates proficiency in numerical simulation, portfolio optimization, time-series data processing, and computation of risk-return metrics such as expected return, volatility, and the Sharpe ratio.