portfolio-optimization

There are 108 repositories under portfolio-optimization topic.

• PyPortfolioOpt

  robertmartin8 / PyPortfolioOpt

  Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

  financeportfolio-optimizationportfolio-managementquantitative-financealgorithmic-tradinginvestingefficient-frontiercovariancepythoninvestmentinvestment-analysisfinancial-analysis
  Language:Jupyter Notebook 4118
• mlfinlab

  hudson-and-thames / mlfinlab

  MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

  algorithmic-tradingfinancefinancial-machine-learninginvestingmachine-learningportfolio-managementportfolio-optimizationpythonquantitative-financeresearchtrading
  Language:Python 3767

• polakowo / vectorbt

  Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.

  backtestingtradingalgorithmic-tradingtrading-strategiescryptocurrencydata-visualizationtime-seriesdata-sciencefinancemachine-learningportfolio-optimizationquantitative-financequantitative-analysisalgorithmic-traiding
  Language:Python 3730
• eiten

  tradytics / eiten

  Statistical and Algorithmic Investing Strategies for Everyone

  machine-learningalgorithmic-tradinginvestment-portfolioportfolio-optimizationtrading-strategiestrading-algorithmstradyticsaistatisticseigenvaluesfree-softwareopensourcehedgefundgenetic-algorithm
  Language:Python 2685
• Riskfolio-Lib

  dcajasn / Riskfolio-Lib

  Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

  portfolio-optimizationconvex-optimizationstepwise-regressionduration-matchingdrawdown-modelsharpe-ratiotradinginvestmentfinanceasset-allocationprincipal-components-regressioncvar-optimizationcvxpyrisk-parityrisk-contributionrisk-factorsportfolio-managementinvestment-analysisquantitative-financeefficient-frontier
  Language:C++ 2679

• firmai / machine-learning-asset-management

  Machine Learning in Asset Management (by @firmai)

  machine-learningtrading-strategiesassets-managementalgorithmic-tradingportfolio-optimizationjupyter-notebookgoogle-colabquantitative-financequant
  Language:Jupyter Notebook 1633

• osqp / osqp

  The Operator Splitting QP Solver

  optimizationquadratic-programmingconvex-optimizationmachine-learninglassosvmcontrolmodel-predictive-controlportfolio-optimizationsolvernumerical-optimization
  Language:C 1560
• skfolio

  skfolio / skfolio

  Python library for portfolio optimization built on top of scikit-learn

  asset-allocationasset-managementconvex-optimizationcvar-optimizationcvxpyefficient-frontierhierarchical-clusteringmachine-learningportfolioportfolio-optimizationquantitative-financequantitative-investmentrisk-parityscikit-learntrading-strategies
  Language:Python 895
• Empyrial

  ssantoshp / Empyrial

  An Open Source Portfolio Backtesting Engine for Everyone | 面向所有人的开源投资组合回测引擎

  quantitative-financequantitative-analysisstockstock-marketbacktestingfinanceportfolio-analysisinvestment-portfolioportfolio-optimizationportfolio-managementpythoninvestmentinvestment-analysisquantfuturesfintechstock-data
  Language:Python 862

• jankrepl / deepdow

  Portfolio optimization with deep learning.

  deep-learningportfolio-optimizationfinancemachine-learningpytorchtimeseriesmarkowitzconvex-optimizationstock-price-predictionwealth-managementtradingallocation
  Language:Python 834

• cvxgrp / cvxportfolio

  Portfolio optimization and back-testing.

  convex-optimizationfinanceoptimizationoptimization-algorithmsoptimization-methodsoptimizerportfolio-optimizationpythontime-series
  Language:Python 788

• Hvass-Labs / FinanceOps

  Research in investment finance with Python Notebooks

  financeinvestingpythonportfolio-optimization
  Language:Jupyter Notebook 776

• KonishchevDmitry / investments

  Helps you with managing your investments

  asset-allocationfinanceinteractive-brokersinvestmentsportfolio-optimizationportfolio-rebalancingstockstax-statement
  Language:Rust 468
• TuringTrader

  fbertram / TuringTrader

  The Open-Source Backtesting Engine/ Trading Simulator by Bertram Solutions.

  backtestingstocksoptionsportfoliostradingtrading-algorithmstrading-platformtrading-strategiestrading-botc-sharpstock-indicatorsfinancealgorithmic-tradingquantquantitative-tradingportfolio-optimizationportfolio-managementquantitative-financetechnical-analysistechnical-indicators
  Language:C# 418

• imhgchoi / ARIMA-LSTM-hybrid-corrcoef-predict

  Applied an ARIMA-LSTM hybrid model to predict future price correlation coefficients of two assets

  arima-modelmachine-learningneural-networkportfolio-optimization
  Language:Jupyter Notebook 372

• VivekPa / OptimalPortfolio

  An open source library for portfolio optimisation

  portfolio-optimizationportfolio-managementrisk-modellingquantitative-financealgorithmic-tradingrisk-management
  Language:Python 341

• convexfi / riskparity.py

  Fast and scalable construction of risk parity portfolios

  portfolio-optimizationoptimizationfinancerisk-parity
  Language:Python 276

• purvasingh96 / AI-for-Trading

  📈This repo contains detailed notes and multiple projects implemented in Python related to AI and Finance. Follow the blog here: https://purvasingh.medium.com

  ai-for-tradingmomentum-trading-strategyvolatilitypairs-tradingportfolio-optimizationrisk-factor-modelsalpha-factorsfactor-modelsudacitytradingnanodegreebacktestingnlp-taskscosine-similarity
  Language:Jupyter Notebook 197

• bshaw2019 / Crypto_Trader

  Q-Learning Based Cryptocurrency Trader and Portfolio Optimizer for the Poloniex Exchange

  poloniexmachine-learningportfolio-optimizationcryptocurrency-traderreinforcement-learningsentiment-analysistechnical-analysis
  Language:Python 189

• mbk-dev / okama

  Investment portfolio and stocks analyzing tools for Python with free historical data

  financeinvestmentsmathematicsefficient-frontierasset-allocationpythonoptimizationportfolio-optimizationquantitative-financehistorical-datamacroeconomic-indicatorsportfoliofinancial-dataassets-riskrisk-managementrebalancingcfachartered-financial-analysttime-series
  Language:Python 184

• lequant40 / portfolio_allocation_js

  A JavaScript library to allocate and optimize financial portfolios.

  quantitative-financerisk-parityrisk-budgetingmarkowitzcritical-line-algorithmclusteringconvex-optimizationportfolio-optimizationfistaquadratic-programminglinear-programmingsmoindex-trackingequal-risk-contributionsportfolio-allocationoptimization-algorithmsportfolio-selectioncorrelation-matrix
  Language:JavaScript 171

• WLM1ke / poptimizer

  Оптимизация долгосрочного портфеля акций

  robust-optimizationrisk-managementportfolio-optimizationmoexdeep-learning
  Language:Python 150

• hudson-and-thames / portfoliolab

  PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professionals in the industry.

  machine-learningtradinginvestingresearchfinancepythonalgorithmic-tradingquantitative-financeportfolio-managementportfolio-optimization
  144
• fortitudo.tech

  fortitudo-tech / fortitudo.tech

  Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy Pooling views / stress-testing in Python.

  cvar-optimizationentropy-poolingasset-allocationasset-managementportfolio-optimizationmean-variance-optimizationefficient-frontierinvestment-analysisportfolio-allocationportfolio-selectionrisk-adjusted-returnmarkowitz-portfoliomathematical-financeinvestment-managementinvestmentsportfolio-constructionblack-littermancvarconditional-value-at-riskquantitative-finance
  Language:Python 139

• AlainDaccache / Quantropy

  Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeling, stock screening, portfolio optimization, and broker API.

  financetradingfinancial-marketsstrategiesmachine-learningedgarquantitative-financeportfolio-constructionportfolio-optimizationfundamental-analysisbroker-apifinancial-data
  Language:Python 114
• Trading-Algorithms

  brookswoolf / Trading-Algorithms

  This repository contains the customized trading algorithms that I have created using the Quantopian IDE.

  quantitative-financequantitative-tradingquantitative-analysisfinance-applicationportfolio-optimizationportfolio-constructionportfolio-analysisportfolio-managementportfolio-templatepythonjupyter-notebookjupyterquantopian
  Language:Jupyter Notebook 114

• jcrichard / pyrb

  Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python

  financeportfolio-optimizationrisk-budgetingrisk-parity
  Language:Python 110
• DROP

  lakshmiDRIP / DROP

  Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

  fixed-incomebondasset-allocationtransaction-cost-analyticscounterparty-riskcva-dva-fva-kva-xvastatistical-learningasset-backedportfolio-optimizationmarket-riskcredit-riskcorporatesloansmunicipalsemerging-marketinflation-linkedinterest-ratesfxtreasuryjava
  Language:HTML 107

• albertosantini / conpa

  Asset Allocation application

  financeasset-allocationoptimizationportfolio-optimization
  Language:JavaScript 82

• ArturSepp / QuantInvestStrats

  Quantitative Investment Strategies (QIS) package implements analytics for visualisation of financial data, performance reporting, analysis of quantitative strategies.

  asset-managementinvestment-analysisportfolio-optimizationquantitative-financepython
  Language:Python 80

• chaitjo / markowitz-portfolio-optimization

  Markowitz portfolio optimization on synthetic and real stocks

  convex-optimizationportfolio-optimizationstock-marketpythoncvxpymarkowitzfinancial-engineering
  Language:Python 72

• ApurvShah007 / Algorithmic-Trading

  I have been deeply interested in algorithmic trading and systematic trading algorithms. This Repository contains the code of what I have learnt on the way. It starts form some basic simple statistics and will lead up to complex machine learning algorithms.

  pandasfinancial-analysisalgorithmic-tradingstatisticsnumpyscipypandas-dataframepython3portfolio-optimizationoption-pricingblack-scholesmonte-carlo-simulationportfolportfolio-optimizerportfolio-stats
  Language:Jupyter Notebook 60

• johnsoong216 / pymarkowitz

  Mean Variance (Markowitz) Portfolio Optimization and Beyond

  pythonportfolio-optimizationfinanceportfolio-managementportfolio-constructionmarkowitz-portfoliomean-variance-optimizationbacktestingrisk-measurement
  Language:Python 56

• sanjeevai / smart-beta-portfolio-optimization

  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..

  portfolio-optimizationsmart-beta-portfoliosportfolio-managementetfstockfundsbenchmarkbeta
  Language:HTML 54

• leonardoarcari / dcapal

  DcaPal is a free, no registration, online tool to help you keep your portfolio balanced with dollar cost averaging investments

  cryptodollar-cost-averaginghacktoberfestinvestmentpersonal-financeportfolio-managementportfolio-optimization
  Language:Rust 52

• Mircea-MMXXI / azapy

  Financial Portfolio Optimization Algorithms

  financequantitative-financeportfolio-optimizationcvar-optimizationsmcr-optimizationmad-optimizationgini-optimizationmv-optimizationsd-optimizationomega-optimizationkelly-criteriongini-indexbtad-optimizationbtsd-optimizationlsd-optimizationsortino-optimization
  Language:Jupyter Notebook 51