Quantitative Strategic Asset Allocation, easy for you.
Riskfolio-Lib is a library for making quantitative strategic asset allocation
or portfolio optimization in Python made in Peru 🇵🇪. It is built on top of
cvxpy and closely integrated
with pandas data structures.
Some of key functionalities that Riskfolio-Lib offers:
- Portfolio optimization with 4 objective functions (Minimum Risk, Maximum Return, Maximum Risk Adjusted Return Ratio and Maximum Utility Function)
- Portfolio optimization with 10 convex risk measures (Std. Dev., MAD, CVaR, Maximum Drawdown, among others)
- Risk Parity Portfolio optimization with 7 convex risk measures (Std. Dev., MAD, CVaR, Maximum Drawdown, among others)
- Worst Case Mean Variance Portfolio optimization.
- Portfolio optimization with Black Litterman model.
- Portfolio optimization with Risk Factors model.
- Portfolio optimization with constraints on tracking error and turnover.
- Portfolio optimization with short positions and leveraged portfolios.
- Tools for build efficient frontier for 10 risk measures.
- Tools for build linear constraints on assets, asset classes and risk factors.
- Tools for build views on assets and asset classes.
- Tools for calculate risk measures.
- Tools for calculate risk contributions per asset.
- Tools for calculate uncertainty sets for mean vector and covariance matrix.
- Tools for estimate loadings matrix (Stepwise Regression and Principal Components Regression).
- Tools for visualizing portfolio properties and risk measures.
Online documentation is available at Documentation.
The docs include a tutorial
with examples that shows the capacities of Riskfolio-Lib.
Riskfolio-Lib supports Python 3.7+.
- numpy >= 1.17.0
- scipy >= 1.1.0
- pandas >= 1.0.0
- matplotlib >= 3.3.0
- cvxpy >= 1.0.15
- scikit-learn >= 0.22.0
- statsmodels >= 0.10.1
- arch >= 4.15
The latest stable release (and older versions) can be installed from PyPI:
pip install riskfolio-lib
Riskfolio-Lib development takes place on Github: https://github.com/dcajasn/Riskfolio-Lib
The plan for this module is to add more functions that will be very useful
to asset managers.
- Mean Entropic Risk Optimization Portfolios.
- Add functions to estimate Duration, Convexity, Key Rate Durations and Convexities of bonds without embedded options (for loadings matrix).
- Add more functions based on suggestion of users.