# Portfolio optimization python github

23.10.2020With this approach we try to discover the optimal weights by simply creating a large number of random portfolios, all with varying combinations of constituent stock weightings, calculating and recording the Sharpe ratio of each of these randomly weighted portfolio and then finally extracting the details corresponding to the result with the highest value. We will always experience some discrepancies however as we can never run enough simulated portfolios to replicate the exact weights we are searching for…we can get close, but never exact.

In this example we will create a portfolio of 5 stocks and runsimulated portfolios to produce our results. We then download price data for the stocks we wish to include in our portfolio.

In this example I have chosen 5 random stocks that I am sure most people will at least have heard of…Apple, Microsoft, Netflix, Amazon and Google. The results will be produced by defining and running two functions shown below.

The arguments we will provide are, the weights of the portfolio constituents, the mean daily return of each of those constituents as calculated over the historic data that we downloaded earlierthe co-variance matrix of the constituents and finally the risk free interest rate. The risk free rate is required for the calculation of the Sharpe ratio and should be provided as an annualised rate.

In this example I have chosen to set the rate to zero, but the functionality is there to easily amend this for your own purposes. The second function deals with the overall creation of multiple randomly weighted portfolios, which are then passed to the function we just described above to calculate the required values we wish to record. The values are then indeed recorded and once all portfolios have been simulated, the results are stored in and returned as a Pandas DataFrame.

The values recorded are as previously mentioned, the annualised return, annualised standard deviation and annualised Sharpe ratio — we also store the weights of each stock in the portfolio that generated those values. Now we quickly calculate the mean returns and co-variance matrix of our list of stocks, set the number of portfolios we wish to simulate and finally we set the desired value of the risk free rate.

We then call the required function and store the results in a variable so we can then extract and visualise them.

These are highlighted with a red star for the maximum Sharp ratio portfolio, and a green star for the minimum variance portfolio. The data points are coloured according to their respective Sharpe ratios, with blue signifying a higher value, and red a lower value. Now we just take a look at the stock weightings that made up those two portfolios, along with the annualised return, annualised standard deviation and annualised Sharpe ratio.

These are shown below firstly for the maximum Sharpe portfolio, and then for the minimum variance portfolio. The code is fairly brief but there are a couple of things worth mentioning.

Saying as we wish to maximise the Sharpe ration, this may seem like a bit of a problem at first glance, but it is easily solved by realising that the maximisation of the Sharpe ratio is analogous to the minimisation of the negative Sharpe ratio — that is literally just the Sharpe ratio value with a minus sign stuck at the front.

So firstly we define a function very similar to our earlier function that calculates and returns the negative Sharpe ratio of a portfolio. So the most simple way to achieve this is to create a lambda function that returns the sum of the portfolio weights, minus 1.Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity.

A JavaScript library to allocate and optimize portfolios of financial instruments. Usage of policy gradient reinforcement learning to solve portfolio optimization problems Tactical Asset Allocation. This repository contains the customized trading algorithms that I have created using the Quantopian IDE.

Built a smart beta portfolio and compared it to a benchmark index by calculating the tracking error. Built a portfolio using quadratic programming to optimize the weights. Add a description, image, and links to the portfolio-optimization topic page so that developers can more easily learn about it. Curate this topic. To associate your repository with the portfolio-optimization topic, visit your repo's landing page and select "manage topics.

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Star 1. Code Issues Pull requests. Jackal08 commented Apr 3, Open Implement NNC as a part of codependence module. Open Add Backtest Statistics Ch Star Updated Apr 10, Python.

Machine Learning in Asset Management. Updated Mar 31, Jupyter Notebook. Updated Mar 27, C. Updated Aug 21, Python. An open source library for portfolio optimisation. Updated Sep 2, Python. Updated Oct 1, Jupyter Notebook. Helps you with managing your investments. Updated Apr 7, Rust. Updated Jul 2, JavaScript. Read more. Asset Allocation application.

Updated Mar 22, JavaScript. Updated Feb 5, Python. Updated Apr 11, C. Updated Jul 24, Python. Determine optimal rebalancing of a passive stock portfolio. Updated Nov 2, Python. Updated Nov 27, Python.People spend a lot of time developing methods and strategies that come close to the "perfect investment", that brings high returns coupled with low risk.

As one of the most important and influential theories dealing this problem, Modern Portfolio Theory was developed by Harry Markowitz and published under the title "Portfolio Selection" in the Journal of Finance. Apply the method of Lagrange multipliers to the convex minimization problem subject to linear constrains, we can get optimal portfolio weights and variance. Code is reproducible for different total number, different date range and different companies of stocks chosen.

Sample Covariance with days of observation for returns, configuration referred as "long term", "long" or "l". Sample Covariance with days of observation for returns, configuration referred as "medium term","medium" or "m". Sample Covariance with 60 days of observation for returns, configuration referred as "short term", "short" or "s".

For a extreme volatility in one day, it is usually caused by company splitted its stock, the price became half instantly. Graphs about daily return is not natural, investors feel comfortable to look at Cumulative PnL returns.GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together.

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If nothing happens, download Xcode and try again. If nothing happens, download the GitHub extension for Visual Studio and try again. Modern portfolio theory was pioneered by Harry Markowitz in and led to him being awarded the Nobel Prize in Economics in The original essay on portfolio selection has since inspired a multitude of researchers and analysts to develop theories on financial modelling and risk management.

Seeking similar inspiration, I studied the classical portfolio optimization technique introduced by Markowitz and applied it to real world data. Read the blog post here: chaitjo. Skip to content. Dismiss Join GitHub today GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together.

Sign up. Python Branch: master. Find file. Sign in Sign up. Go back. Launching Xcode If nothing happens, download Xcode and try again. Latest commit. Latest commit e58 Dec 20, Markowitz Portfolio Optimization Modern portfolio theory was pioneered by Harry Markowitz in and led to him being awarded the Nobel Prize in Economics in You signed in with another tab or window.

Reload to refresh your session. You signed out in another tab or window. Jun 8, Jun 7, Initial commit. Dec 20, GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together. If nothing happens, download GitHub Desktop and try again. If nothing happens, download Xcode and try again. If nothing happens, download the GitHub extension for Visual Studio and try again. Optimization of product portfolio filtering SKUs with gross margin below a threshold set by the user.

To run the dashboard is necessary to.

## portfolio-optimization

The Python script is optimized for execution speed: 1. Plant and SKUs databases are loaded once, the first time the script is executed by Tableau 2. Changes are detected comparing parameter stored last value with current one value. The path where the Python script is located must be configured. In the Tableau worksheet e. In the Current value insert the directory where the Python package is located. Edit the config. The full path of both db database.

Dashboard 'Optimization impact on SKU' show impact of Portfolio optimization strategy to a SKU level Dashboard 'Optimization impact on subcategories' show impact of Portfolio optimization strategy to a subcategory level Dashboard 'Optimization impact on plant' show impact of Portfolio optimization strategy on plant asset utilization.

Documentation is available in docstrings provided within the code, altogether with thorough commenting of code steps.

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**How to identify the Investor's Optimal Portfolio in Python?**

Sign up. No description, website, or topics provided. Python Branch: master. Find file. Sign in Sign up. Go back. Launching Xcode If nothing happens, download Xcode and try again. Latest commit Fetching latest commit…. Portfolio Optimization Optimization of product portfolio filtering SKUs with gross margin below a threshold set by the user. To run the dashboard is necessary to Edit Tableau configuration see next Section Edit Python script configuration see next Section The Python script is optimized for execution speed: 1.

Changes are detected comparing parameter stored last value with current one value Tableau configuration Retail. Python script configuration config. Dashboard execution Dashboard 'Optimization impact on SKU' show impact of Portfolio optimization strategy to a SKU level Dashboard 'Optimization impact on subcategories' show impact of Portfolio optimization strategy to a subcategory level Dashboard 'Optimization impact on plant' show impact of Portfolio optimization strategy on plant asset utilization How to use the documentation Documentation is available in docstrings provided within the code, altogether with thorough commenting of code steps References Author: Davide Guatta, guatta.

You signed in with another tab or window. Reload to refresh your session. You signed out in another tab or window.We introduce a vector x to model the position in each asset, and solve the standard Markowitz portfolio problem no short positions and aim for an expected return equal to the average historical return of all assets.

An alternative approach is to limit the variance, and maximize the expected return. A first sight, this is terribly nonlinear and can indeed also be non-convex. However, it can easily be converted to a quadratic program. In principle, we note that the normalization that the weights should sum to 1 is rather arbitrary, we just want it to be non-zero and the important result is the relative sizes.

The solutions to the problems above typically leads to a portfolio with shares in most assets. This is typically not wanted, since it leads to increased transaction and administration costs.

An alternative is to only allow a limited number of non-zero positions.

### Portfolio Optimization Problem

This is easily modeled using the nnz operator, and leads to a mixed integer quadratic programming problem. Let us limit the number of positions to 4 since nnz requires a MILP model, we explicitly upper bound the variable x to help the big-M reformulation.

Please note that cardinality constrained portfolio selection yields extremely hard problems. To ensure a balanced portfolio, constraints on smallest and largest fraction could be useful.

An equivalent model can be obtained by using the command semivar. The drawback with the following code is that it can be slightly less efficient since it introduce separate binary variables for the cardinality constraint and the semi-continuous position vector.

An efficient pre-solve in the integer solver should be able to detect these redundant variables though. The following portfolio only allows fixed sizes of the positions, while aiming for the target return. A school-book example of parametric optimization is the efficient frontier in the Markowitz portfolio. Solving many problems with only a small change in the setup can in some cases be done efficiently using the optimizer command.

This command allows us to create an object which takes the target return as input, and returns the variance and portfolio assignments as outputs. By using the optimizer command instead of explicitly setting up a new problem and calling optimizethe overhead can be reduced drastically. The minimum risk portfolio and the associated variance at the target profit that we computed in the beginning of this example can be extracted from the parametric solution.

Be careful with unnecessary symbolic overhead. Let us begin by defining some random data with 10 candidate assets.

## pyportfolioopt 1.0.2

Leave a Comment. New release R Various small improvements. Working with sparse parameterizations in optimizer Be careful with unnecessary symbolic overhead.GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together. If nothing happens, download GitHub Desktop and try again. If nothing happens, download Xcode and try again. If nothing happens, download the GitHub extension for Visual Studio and try again.

This module provides a set of functions for financial portfolio optimization, such as construction of Markowitz portfolios, minimum variance portfolios and tangency portfolios i. Please read the docstring of the function you intend to use by typing e. You can also find some documentation here. To install the requirements by hand you can also use pip install -r requirements. You can run the tests with python setup. If everything is right, all tests should pass. The portfolioopt module provides the optimization routines, the file example.

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Financial Portfolio Optimization Routines in Python. Python Branch: master. Find file. Sign in Sign up. Go back. Launching Xcode If nothing happens, download Xcode and try again. Latest commit Fetching latest commit…. Financial Portfolio Optimization This module provides a set of functions for financial portfolio optimization, such as construction of Markowitz portfolios, minimum variance portfolios and tangency portfolios i.

You signed in with another tab or window. Reload to refresh your session. You signed out in another tab or window. Added documentation file. Jul 27, Added module docstrings. Initial commit. Jun 24,

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