Challenge 7: Portfolio Return

Write a python code that returns expected portfolio return given two assets randomly allocated.

Example

You are given times series of two assets and randomly generated weights as allocated to this combined portfolio. Your task is to calculate and print() overall portfolio return rounded to 5 decimal places.

From theoretical standpoint we aiming to implement the following formula assuming no short sell and no additional borrowing being allowed

p=E(Iwiri)=IwiE(ri)=Iwii=wTp=E(Iwiri)=IwiE(ri)=Iwii=wT

Whereby, the weights w all add up to be equal to 1.

GIVEN CODE:

import numpy as np def portfolioReturn(df, w):

return sum(df*w)/len(df)

def main(): x=2

np.random.seed(88)

data = {

'Asset1' : 100*np.exp((-0.01-0.5*0.1**2)*1+0.1*np.sqrt(1)*np.random.standard_normal(252)),

'Asset2' : 1000*np.exp((-0.01-0.5*0.05**2)*1+0.05*np.sqrt(1)*np.random.standard_normal(252))

}

w = np.random.uniform(0,1,2)

w /= w.sum()

print(portfolioReturn(data, w))