OptimalPortfolio | An open source library for portfolio optimisation | Portfolio library

by VivekPa Python Version: Current License: MIT

X-Ray Key Features Code Snippets Community Discussions(1)Vulnerabilities Install Support

kandi X-RAY | OptimalPortfolio Summary

OptimalPortfolio is a Python library typically used in Web Site, Portfolio applications. OptimalPortfolio has no bugs, it has no vulnerabilities, it has build file available, it has a Permissive License and it has low support. You can download it from GitHub.

This library aims to make optimising portfolios accessible to every trader and investor. To install this library, download it and run.

Support

Quality

Security

License

Reuse

Support

OptimalPortfolio has a low active ecosystem.

It has 319 star(s) with 88 fork(s). There are 33 watchers for this library.

It had no major release in the last 6 months.

There are 2 open issues and 1 have been closed. There are 2 open pull requests and 0 closed requests.

It has a neutral sentiment in the developer community.

The latest version of OptimalPortfolio is current.

Quality

OptimalPortfolio has 0 bugs and 0 code smells.

Security

OptimalPortfolio has no vulnerabilities reported, and its dependent libraries have no vulnerabilities reported.

OptimalPortfolio code analysis shows 0 unresolved vulnerabilities.

There are 0 security hotspots that need review.

License

OptimalPortfolio is licensed under the MIT License. This license is Permissive.

Permissive licenses have the least restrictions, and you can use them in most projects.

Reuse

OptimalPortfolio releases are not available. You will need to build from source code and install.

Build file is available. You can build the component from source.

Installation instructions are not available. Examples and code snippets are available.

OptimalPortfolio saves you 110 person hours of effort in developing the same functionality from scratch.

It has 921 lines of code, 101 functions and 27 files.

It has medium code complexity. Code complexity directly impacts maintainability of the code.

Top functions reviewed by kandi - BETA

kandi has reviewed OptimalPortfolio and discovered the below as its top functions. This is intended to give you an instant insight into OptimalPortfolio implemented functionality, and help decide if they suit your requirements.

Compute mean variance
Solve the CVX problem
Convert w into a float
R Calculates the port volume of a port
R shrinkage the covariance of the portfolio
Shrink the identity shrinkage
Shrinkov covariance matrix
Calculates the Leoitage coefficient
Shrink the return value
Shrinks the mean of the data
Compute the Jacobian of the Jacobian
Compute max Sharpe
Helper function to fix weights
Estimate the maximum expectation
Calculate the expectation maximum expectation
Compute the parameter covariance matrix
Normalize the covariance matrix
Compute the covariance matrix
Compute the cross covariance matrix
Add constraints
Calculate the average cumulative histogram
Calculate the average history over a time series
Emulate ema histogram
Computes the Expoit - Wolf covariance matrix
Minimum volatility
Adds the given objectives

Get all kandi verified functions for this library.

OptimalPortfolio Key Features

No Key Features are available at this moment for OptimalPortfolio.

OptimalPortfolio Examples and Code Snippets

No Code Snippets are available at this moment for OptimalPortfolio.

Community Discussions

Trending Discussions on OptimalPortfolio

Stuck using the linear optimisation function to optimise portfolio weights

QUESTION

Stuck using the linear optimisation function to optimise portfolio weights

Asked 2021-Feb-24 at 04:48

Context

I am currently seeking to build an optimisation function to build portfolio weights. Its akin to the excel solver or the google sheets solver function (albeit faulty). Though how it works differs to the excel VBA. Its the first time I am playing with it. Below is the script:

...

ANSWER

Answered 2021-Jan-25 at 08:12

As explained in the documentation to find the optimal values you should run engine.solve(). This will return the values, thus you will want to store them in a variable to then use them wherever you want.

Source https://stackoverflow.com/questions/65803396

Community Discussions, Code Snippets contain sources that include Stack Exchange Network

Vulnerabilities

No vulnerabilities reported

Install OptimalPortfolio

You can download it from GitHub.
You can use OptimalPortfolio like any standard Python library. You will need to make sure that you have a development environment consisting of a Python distribution including header files, a compiler, pip, and git installed. Make sure that your pip, setuptools, and wheel are up to date. When using pip it is generally recommended to install packages in a virtual environment to avoid changes to the system.

Support

For any new features, suggestions and bugs create an issue on GitHub. If you have any questions check and ask questions on community page Stack Overflow .

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