Global Efficient Frontier
The efficient frontier is the set of optimal portfolios that offer the highest expected return for a defined level of risk or the lowest risk for a given level of expected return. (Source: Investopedia)
from empyrial import empyrial, Engine
​
portfolio = Engine(
start_date = "2018-01-01",
benchmark = ["SPY"], #SPY is set by default
portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"],
optimizer = "EF"
)
​
empyrial(portfolio)
When using this optimizer, the weights may be not well-diversified, you can fix that by reading the "Diversification" section :
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