OptimalPortfolio
Unverified Other strategy on Multi by VivekPa. BotFinder score 18 out of 100.
An open source library for portfolio optimisation
Source: github
BotFinder analysis pending.
OptimalPortfolio
Optimal Portfolio OptimalPortfolio is an open source library for portfolio optimisation. This library implements classical portfolio optimisation techniques for equities, but is also extendable for non-equity products given the right adjustments in invariants. Furthermore, certain modern advances in portfolio optimisation, such as Hierarchical Risk Parity is also implemented. Regardless of whether you are a fundamental investor, or an algorithmic trader, this library can aid you in allocating your capital in the most risk efficient way, allowing to optimise your utility. For more details on the project design and similar content, please check out Engineer Quant Disclaimer: This is not trading or investment advice. Trading involves significant risk and do so at your risk. Contents - Contents - Overview - Full Sequence - Functionality - Expected Returns - Risk Models - Objective Functions - Constraints - Market Invariants - Moment Estimation - Nonparametric Estimators - Maximum Likelihood Estimators - Shrinkage Estimators - Optimal Allocations - Higher Moment Optimisation
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