Portfolio Management using Python -- Portfolio Optimization

Portfolio optimization is the process of choosing the best portfolio among the set of all portfolios. The naive way is to select a group of random allocations and figure out which one has the best Sharpe Ratio. This is known as the Monte Carlo Simulation where randomly a weight is assigned to each security in the portfolio and then the mean daily return and standard deviation of daily return is calculated. This helps in calculating the Sharpe Ratio for randomly selected allocations. But the naive way is time taking so an optimization algorithm is used which works on the concept of the minimizer.