Implement portfolio optimization simulation
Overview
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.
DRW
Aug 4, 2025, 10:55 AM
Machine Learning Engineer
Take-home Project
Coding & Algorithms
0
0
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.