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Medium · portfolio_optimization · Quant Researcher interview question · portfolio-optimization, mean-variance, sharpe-ratio, tangency, numpy
The tangency portfolio represents the optimal combination of risky assets that maximizes the Sharpe ratio. It is found at the point where the Capital Market Line is tangent to the efficient frontier. In quantitative finance, it serves as a foundational building block for asset allocation strategies, including Black-Litterman models and other robust optimization techniques. Task Implement the function solution(mu, cov, rf=0.0) to calculate the weights of the tangency portfolio. The function shou