portfolio_optimize
Optimize portfolio weights for maximum Sharpe, minimum volatility, or risk parity. Input expected returns and covariance matrix to get optimal allocation and performance metrics.
Instructions
Portfolio optimization: max Sharpe, min vol, or risk parity weights.
Use when optimizing portfolio weights for max Sharpe, min volatility, or risk parity. Provide expected returns and a covariance matrix. Returns: optimal weights, expected return, volatility, Sharpe ratio, and efficient frontier points.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| mode | No | Optimization objective | max_sharpe |
| returns | Yes | Named return series per asset, e.g. {"AAPL": [...], "MSFT": [...]} | |
| risk_free_rate | No | Annual risk-free rate |