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Looks neat, but it's a bit unclear to me how to read the Pareto frontier graph. Also, would you share your references for the fixed you implemented/give recommendations for papers/books that can give useful domain knowledge to an ML person reading up on portfolio optimisation? I.e. the "actually useful" parts of the literature?

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Thanks for the feedback! I'll try to label the chart a little more clearly. The y axis is expected returns, the x axis is expected riskiness. I show the generated optimal portfolios alongside the original constituent assets that comprise the portfolios. So ideally you want a portfolio up and to the left, but higher-returning securities tend to be riskier.

I found the literature on vine copulas to be helpful, particularly the following presentation: https://www.birs.ca/workshops/2013/13w5146/files/Brechmann.p...

I used that as a helpful guide for ways to create some of the more interesting returns simulations.

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