Ecosyste.ms: Awesome
An open API service indexing awesome lists of open source software.
https://github.com/anuragagrawaal/pyportfolioanalysis
'Portfolio Analysis, methods for portfolio optimization'
https://github.com/anuragagrawaal/pyportfolioanalysis
finance financial-data financial-engineering jupyter-notebook mathematical-modelling optimization optimization-methods portfolio-construction portfolio-management portfolio-optimization portfoliomanager portfoliooptimization python python3 quantitative-finance scipy statistics
Last synced: 3 months ago
JSON representation
'Portfolio Analysis, methods for portfolio optimization'
- Host: GitHub
- URL: https://github.com/anuragagrawaal/pyportfolioanalysis
- Owner: anuragagrawaal
- License: agpl-3.0
- Created: 2021-01-08T10:14:07.000Z (about 4 years ago)
- Default Branch: main
- Last Pushed: 2021-01-26T09:35:23.000Z (almost 4 years ago)
- Last Synced: 2024-10-11T15:44:28.047Z (3 months ago)
- Topics: finance, financial-data, financial-engineering, jupyter-notebook, mathematical-modelling, optimization, optimization-methods, portfolio-construction, portfolio-management, portfolio-optimization, portfoliomanager, portfoliooptimization, python, python3, quantitative-finance, scipy, statistics
- Language: Python
- Homepage:
- Size: 3.35 MB
- Stars: 22
- Watchers: 1
- Forks: 4
- Open Issues: 1
-
Metadata Files:
- Readme: README.md
- Funding: .github/FUNDING.yml
- License: LICENSE
Awesome Lists containing this project
README
# pyPortfolioAnalysis
pyPortfolioAnalysis is a Python library for numeric method for portfolio optimisation.
## Installation
Use the package manager [pip](https://pip.pypa.io/en/stable/) to install [pyPortfolioAnalysis](https://pypi.org/project/pyPortfolioAnalysis/).
Documentation is available as docstring, [HTML](https://pyportfolioanalysis.readthedocs.io/en/latest/index.html) or [Text](https://github.com/anuragagrawaal/pyPortfolioAnalysis/blob/main/docs/doc_pyPortfolioAnalysis.txt)
```bash
pip install pyPortfolioAnalysis
```
## Usage
```python
from pyPortfolioAnalysis import *
import pandas as pd
#Sample portfolio optimisation
import pandas_datareader as pdr
aapl = pdr.get_data_yahoo('AAPL')
msft = pdr.get_data_yahoo('MSFT')
tsla = pdr.get_data_yahoo('TSLA')
uber = pdr.get_data_yahoo('UBER')
amzn = pdr.get_data_yahoo('AMZN')
port = pd.DataFrame({'aapl': pd.DataFrame.reset_index(aapl).iloc[:,6], 'msft':pd.DataFrame.reset_index(msft).iloc[:,6],
'tsla': pd.DataFrame.reset_index(tsla).iloc[:,6], 'uber': pd.DataFrame.reset_index(uber).iloc[:,6],
'amzn': pd.DataFrame.reset_index(amzn).iloc[:,6]})
port_ret = port.pct_change().dropna()
p1 = portfolio_spec(assets = ['AAPL', 'MSFT', 'TSLA', 'UBER', 'AMZN'])
add_constraint(p1, 'long_only')
add_constraint(p1, 'full_investment')
add_objective(p1, kind='return', name = 'mean', target = 0.002)
add_objective(p1, kind='risk', name = 'std', target = .018)
p1.port_summary()
constraints = get_constraints(p1)
p1.port_summary()
optimize_portfolio(port_ret, p1, optimize_method = 'DEoptim', disp = False)
```
## Contributing
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
Please make sure to update tests as appropriate.
## Authors
Anurag Agrawal
[](https://paypal.me/anuragagrawal1)
## License
[GPL3](https://choosealicense.com/licenses/gpl-3.0/)
## References
Brian G. Peterson and Peter Carl (2018). PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios. R package version 1.1.0. https://CRAN.R-project.org/package=PortfolioAnalytics
Boudt, Kris and Lu, Wanbo and Peeters, Benedict, Higher Order Comoments of Multifactor Models and Asset Allocation (June 16, 2014). Available at SSRN: http://ssrn.com/abstract=2409603 or http://dx.doi.org/10.2139/ssrn.2409603
Chriss, Neil A and Almgren, Robert, Portfolios from Sorts (April 27, 2005). Available at SSRN: http://ssrn.com/abstract=720041 or http://dx.doi.org/10.2139/ssrn.720041
Meucci, Attilio, The Black-Litterman Approach: Original Model and Extensions (August 1, 2008). Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010. Avail- able at SSRN: http://ssrn.com/abstract=1117574 or http://dx.doi.org/10.2139/ssrn.1117574
Meucci, Attilio, Fully Flexible Views: Theory and Practice (August 8, 2008). Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008. Available at SSRN: http://ssrn.com/abstract=1213325
Scherer, Bernd and Martin, Doug, Modern Portfolio Optimization. Springer. 2005.
Shaw, William Thornton, Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching (June 1, 2011). Available at SSRN: http://ssrn.com/abstract=1856476 or http://dx.doi.org/10.2139/ssrn.1856476
[](https://pepy.tech/project/pyportfolioanalysis)