Enhanced Portfolio Management - Paper review

Python code to replicate the results

Here we utilize the same data source as the paper, which is the 49 industry portfolios from Kenneth French’s website. The data is from 1927 to 2019, and we will use the monthly excess return. We would like to compare the performance of the following portfolios. The performance is measured by the Sharpe ratio.

1. The standard mean variance portfolio
2. The “Enhanched” portfolio using shrinkage
3. The “Enhanched” portfolio using shrinkage and long-only constraint