đź“š References — research papers, blog posts, and tools that helped along the way¶
A quick thank‑you note to the thinkers and tinkers whose work made this little project possible. If you spot something worth adding (or a link that’s gone stale), drop an issue or open a PR.
Academic Papers¶
- Harry Markowitz (1952) – “Portfolio Selection,” The Journal of Finance. The paper that put the Efficient Frontier on the map.
- William F. Sharpe (1994) – “The Sharpe Ratio,” The Journal of Portfolio Management. Our yard‑stick for risk‑adjusted returns.
- Eugene F. Fama & Kenneth R. French (1993) – “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics. A factor lens that still shapes today’s screening models.
Practitioner & Blog Posts¶
- AQR Capital Management – “Myth‑Busting with the Efficient Frontier” (2018). Clear prose on why volatility alone isn’t the boogeyman.
- QuantConnect Blog – “Building a Risk‑Targeted Portfolio with CVaR” (2021). Sparked the CVaR angle in our back‑tester.
- Corey Hoffstein, Newfound Research – “Understanding the Risk of Risk Parity” (2016). Guided the margin‑per‑year concentration check.
Tools & Libraries¶
| Tool | Why it mattered |
|---|---|
| VectorBT | Event‑driven back‑testing that kept the feedback loop snappy. |
| CVXPY | Convex optimisation without the headache. |
| Pandas & NumPy | Bread‑and‑butter for data wrangling. |
| Matplotlib | Old‑school visuals that just work. |
Honorable Mentions¶
- Yahoo Finance API – Free data that didn’t bail at 3 a.m. test runs.
- Jupyter Notebooks – Where half the ideas were born (and promptly broken).
- Figma – Quick mock‑ups so non‑quants could “see” the numbers before they existed.