I’m Robert, a natural sciences student at the University of Cambridge. I am interested in a broad range of quantitative topics, including physics, statistics, finance and computer science (and the intersection between them). For more about me, please head over to my website.
I learn fastest when making real projects. A few months back I began seriously trying to self-educate on certain topics in quantitative finance, and mean-variance optimisation is one of the cornerstones of this field. I read quite a few journal articles and explanations but ultimately felt that a real proof of understanding would lie in the implementation. At the same time, I realised that existing open-source (python) portfolio optimisation libraries (there are one or two), were unsatisfactory for a number of reasons, and that people ‘out there’ might benefit from a well-documented and intuitive API. This is what motivated the development of PyPortfolioOpt.