Data-Driven Optimal Portfolio Selection Project
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  • Project Goals
  • Dataset and Simulation Strategy
  • Optimization Algorithms
  • Why Trust My Results?
  • Core Results

Data-Driven Optimal Portfolio Selection Project

This project aims to evaluate, under simple constraints, an optimal portfolio choice for both retirement and non-retirement contexts. Investing choices are limited to U.S. equities, U.S. bonds, and U.S. short-duration treasuries, with the assumption that these broad classes alone (likely purchased as common index funds) can construct a reasonable portfolio for individual investors with arbitrary time horizons. The goal is to provide a solid data-driven reference point for reasonable asset-class allocation as a function of age or horizon, without diving into the other complexities of an individual investor’s particular situation.

I have separate pages diving into the dataset, statistical framing, optimization strategy, and a (slightly interactive) page of results.

Core results Why trust the results?

3 assets U.S. stocks, bonds, and T-bills

1927-2025 historical real returns

Retirement and Non-Retirement investment contexts

Explore the project

Project Goals

A basic overview of the project framing, and what financial questions I wanted to answer.

Dataset and Simulation Strategy

Details covering the historical dataset and how I sampled it to rank portfolio choices.

Optimization Algorithms

A mathematical description of the algorithm I designed to reliably arrive at an optimal glide path.

Why Trust My Results?

The ML techniques and validation strategy I employed to produce robust, trustworthy results.

Core Results

What interesting results did this project produce?

 

Built with Quarto. Historical returns from Simba’s Backtesting Spreadsheet.