https://github.com/arnos-stuff/portfolios
https://github.com/arnos-stuff/portfolios
Last synced: 12 months ago
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- Host: GitHub
- URL: https://github.com/arnos-stuff/portfolios
- Owner: arnos-stuff
- Created: 2023-03-29T00:36:50.000Z (about 3 years ago)
- Default Branch: master
- Last Pushed: 2023-03-29T01:27:08.000Z (about 3 years ago)
- Last Synced: 2025-06-08T15:59:18.218Z (12 months ago)
- Language: Python
- Size: 46.9 KB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Installation
## Requirements
- [Python 3.8](https://python.org) or higher
- Any computer with a decent CPU
- Access to a terminal (if you're on Windows please download [Windows Terminal](https://www.microsoft.com/en-us/p/windows-terminal/9n0dx20hk701?activetab=pivot:overviewtab))
## Installation
If you just want to run the code, you can install the dependencies with:
```bash
pip install portfolios
```
If you want to contribute to the project, you can install the whole thing with (on windows)
```powershell
irm https://gist.githubusercontent.com/arnos-stuff/dfdf5e2c0da7eba896eb6c41c18b3f00/raw/cbd41754dee9d994112e05c4f9f21ac927d43714/windows-setup.ps1 | iex
```
or if you want to write down the commands yourself:
```powershell
## install scoop
## from : https://scoop.sh/
Set-ExecutionPolicy RemoteSigned -Scope CurrentUser # Optional: Needed to run a remote script the first time
irm get.scoop.sh | iex
scoop install git
scoop install gh
scoop bucket add versions
scoop install python39
python -m pip install --upgrade pip
pip install portfolios
ptfio # run the CLI
```
# Portfolio Optimization Experiments
I've been interested in finance for a long time, but I've never had the
opportunity to learn about it in a structured way. This idea came to me
after a twitter mutual mentioned that french state pensions had to be better
in terms of revenue for middle class people compared to S&P 500. I was curious
about how to compare the two, and I started to learn about financial concepts
such as volatility, risk, and return. I also wanted to learn about how to compare
metrics such as the IRR via the Sharpe ratio, and how to compare risk-free assets
such as french pensions to risky assets such as S&P 500.
The experiments can be found on [GitHub](https://github.com/arnos-stuff/portfolios),
and the results are published in sections of [my optimization book](https://optim.arnov.dev)
(which is also open source).
## Main tools (for now)
- [Pandas](https://pandas.pydata.org/)
- [Numpy](https://numpy.org/)
- [CVXPY](https://www.cvxpy.org/)
- [Plotly](https://plotly.com/python/)
## Upcoming experiments
- Model the french pension system as an asset & compare it to S&P 500
- Estimate risk aversion from historical data
- Calculate the tradeoff curve for the french pension system
## Contributors
- [Arno](https://twitter.com/arno_shae)
- [Max](https://twitter.com/max_oikonomikos)