Modern Portfolio Theory-Effect of Diversification on the Optimal Portfolio-Portfolio Management in Python

Adding VXX ETF

We first add VXX, a volatility Exchange Traded Fund, to the portfolio and run the Python program. The picture below shows the optimal portfolio’s composition and the Sharpe ratio.

Adding spot VIX

We next add spot VIX to the portfolio. Note that spot VIX is not a tradable asset. We do this exercise merely for the sake of numerical experimentation.

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