Socially Responsible Investment Portfolio Construction

In this developer journey, we will demonstrate how to collect information from a user to build a socially responsible portfolio that maintains the same risk and return profile of a standardized portfolio.

This journey leverages two services:

• The Investment Portfolio service is used to manage and store portfolios and financial security information such as the set of eligible investments, benchmarks, and user portfolios.
• The Portfolio Optimization service is used to determine an optimal set of holdings based on a user's constraints and preferences. This could be a Markowitz minimum variance, maximum return efficient portfolio or minimization of tracking error with respect to a benchmark. This journey explores the latter use case.

When the reader has completed this journey, they will understand how to:

• Load and retrieve data from the Investment Portfolio service
• Construct a payload to generate an optimization request from the Portfolio Optimization service.
• Construct a user interface to gather requirements and constraints from the user and return the details of the optimized portfolio.

Included Components

• Bluemix Investment Portfolio
• Bluemix Portfolio Optimization

Deploy to Bluemix

Be sure to load investment portfolio before running the application.

Running the Application

Follow these steps to setup and run this developer journey. The steps are described in detail below.

Prerequisites

• Python

Steps

1. Clone the repo
2. Create Bluemix services
3. Configure Manifest file
4. Configure .env file
5. Run Application
6. Initialize Investment Portfolio

1. Clone the repo

Clone the Build-an-optimal-investment-portfolio code locally. In a terminal, run:

$ git clone https://github.com/IBM/Build-an-optimal-investment-portfolio.git

2. Create Bluemix services

Create the following services:

• Investment Portfolio
• Portfolio Optimization

3. Configure Manifest file

Edit the manifest.yml file in the folder that contains your code and replace with a unique name for your application. The name that you specify determines the application's URL, such as your-application-name.mybluemix.net. Additionally - update the service names so they match what you have in Bluemix. The relevant portion of the manifest.yml file looks like the following:

declared-services:
  Investment-Portfolio:
    label: fss-portfolio-service
    plan: fss-portfolio-service-free-plan
  Portfolio-Optimization:
    label: fss-financial-optimization-service
    plan: fss-financial-optimization-service-free-plan
applications:
- path: .
  memory: 128M
  instances: 1
  name: Socially-Responsible-Investment-Portfolio-Construction
  disk_quota: 1024M
  domain: mybluemix.net
  services:
  - Investment-Portfolio
  - Portfolio-Optimization
  buildpack: python_buildpack

4. Configure .env file

Create a .env file in the root directory of your clone of the project repository by copying the sample .env.example file using the following command:

cp .env.example .env

NOTE Most files systems regard files with a "." at the front as hidden files. If you are on a Windows system, you should be able to use either GitBash or Xcopy

You will need to update the credentials with the Bluemix credentials for each of the services you created in Step 2.

The .env file will look something like the following:

# Investment Portfolio
CRED_PORTFOLIO_USERID_W=
CRED_PORTFOLIO_PWD_W=
CRED_PORTFOLIO_USERID_R=
CRED_PORTFOLIO_PWD_R=

# Portfolio Optimizer
CRED_OPTIMIZER_uri=https://fss-analytics.mybluemix.net/
CRED_OPTIMIZER_accessToken=

5. Run Application

cd into this project's root directory

• Run pip install -r requirements.txt to install the app's dependencies
• Run python run.py
• Access the running app in a browser at http://0.0.0.0:8080/

6. Initalize the Investment Portfolio Service

The application relies on a few elements pre-populated in the Investment Portfolio service. The user interface will read from this service in order to retrieve the properties and selections that a user can interact with.

Once the application is running, we can initialize the service by populating the Investment Portfolio service with the information it needs.

Some points to note:

• make sure the .env file has been updated with your user credentials for the Investment Portfolio service.
• You can observe the financial security choices and meta-data in the Instrument Universe.csv file.
• Benchmark options and weights are defined in the benchmarks.csv file. You can specify weights instead of position units (e.g. .25 for 25% allocation)
• An example user portfolio is defined in the portfolio.csv file. Here, position units are expected as the total value of the optimized portfolio will match the current value of this (unless a cash infusion is specified in the request).

To initalize the application, access the initialize endpoint in your browser by navigating to http://0.0.0.0:8080/api/init.

Find more information on Investment Portfolio api calls here.

Note that accessing the /api/reset endpoint will delete all of the portfolios in the service that the /api/init endpoint created. You can always start over this way, but be careful to not access this if you've done considerable work.

Troubleshooting

• To troubleshoot your Bluemix application, use the logs. To see the logs, run:

cf logs <application-name> --recent

• If you are running locally - inspect your environment variables closely to confirm they match. Try running each service as standalone:

python InvestmentPortfolio.py
python PortfolioOptimization.py

License

Apache 2.0