Below is the link to a paper I published on Portfolio Construction & Optimization. I include python code snippets. In my next paper on the subject, I will include some working portfolio construction/optimization code that I plan to integrate with Tickblaze.
Portfolio construction evolves from traditional Markowitz models to sophisticated machine learning approaches, integrating academic insights and practical implementation strategies.
Two primary methodological frameworks—thematic model grouping and consolidated alpha signal optimization—offer unique advantages in managing complex investment landscapes.
Research reveals sector-specific strategies can improve Sharpe ratios by 0.3-0.5, demonstrating the potential of advanced quantitative portfolio management techniques.
Portfolio Construction Evolution: From Models to Machine Learning by William Mann :: SSRN
Podcast Video link - an AI-generated discussion of the paper: https://www.youtube.com/watch?v=TI1-UDig7NU&t=95s