Portfolio Optimization Comparative Analysis This repository contains the code and analysis for an independent study on portfolio optimization techniques. The study compares the performance of different optimization methods, including Modern Portfolio Theory (MPT), Sharpe Ratio maximization, and the Kelly Criterion (Quadratic Utility). The analysis aims to determine which strategy has performed best over the last five years using a set of index ETFs.

Project Overview The objective of this project is to evaluate the effectiveness of three portfolio optimization strategies and compare their performance against a benchmark:

Modern Portfolio Theory (MPT): Optimizes for maximum return given volatility. Sharpe Ratio Maximization: Optimizes for the portfolio with the highest risk-adjusted return. Kelly Criterion: Optimizes for the portfolio that maximizes expected logarithmic utility (Quadratic Utility). The study uses four widely popular index ETFs as assets: Russell 2000 (IWM), Dow Jones (DJI), NASDAQ (QQQ), and S&P 500 (VOO). The results are compared against an equally-weighted portfolio and the S&P 500 as benchmarks.