Tutorial: Portfolio Optimization with Stocks and Cryptocurrencies
As we finally start to add tutorials to our site we started with Portfolio Optimization with Stocks and Cryptocurrencies which was initially prepared for the Interactive Brokers Quant Blog.
There’s still a heavy buzz around cryptocurrenices – as with every opportunity which offers a convenient way to get rich quick. There’s a reason why one of the pressing questions in the Cryptocommunity is: “When Lambo?”. On a more serious note there is the discussion going on to which asset class cryptos belong. Here we use the a set of parsed and pre-processed stock and cryptocurrency data to combine cryptos with data from (almost) all stocks from the S&P 100 index to check whether cryptos are given a chance by a (plain) Markowitz optimization.