portfolio_construction

black_litterman.black_litterman.BlackLitterman

Creates an object allowing calculation of the distribution of the returns using Black Litterman model

covariance_estimation.robust_covariance.RobustCovariance

Creates a class used for vol forecasting and covariance matrix estimation NOTE: this method has a tendency to make decrease the volatility

optimizers.nonlinear_function_optimizer.NonlinearFunctionOptimizer

Class used for optimizing nonlinear problems.

optimizers.quadratic_optimizer.QuadraticOptimizer

Class used for optimizing quadratic problems.

portfolio_models.portfolio.Portfolio

portfolio_models.efficient_frontier_portfolio.EfficientFrontierPortfolio

Class used for constructing a portfolio, for which the weight of assets’ mean returns can be adjusted against the weight of the covariance of assets.

portfolio_models.equal_risk_contribution_portfolio.EqualRiskContributionPortfolio

Class used for constructing an ERC portfolio.

portfolio_models.kelly_portfolio.KellyPortfolio

Class used for constructing a portfolio based on Kelly’s criterion.

portfolio_models.max_diversification_portfolio.MaxDiversificationPortfolio

Class used for constructing a Max Diversification portfolio.

portfolio_models.max_excess_return_portfolio.MaxExcessReturnPortfolio

Class used for constructing a portfolio which is optimized considering its excess return (maximized).

portfolio_models.max_sharpe_ratio_portfolio.MaxSharpeRatioPortfolio

Class used for constructing a Max Sharpe Ratio portfolio.

portfolio_models.min_variance_portfolio.MinVariancePortfolio

Class used for constructing a min-variance portfolio (the one which is optimized considering it variance, which is minimized).

portfolio_models.multifactor_portfolio.MultiFactorPortfolio

Class used for constructing a portfolio.

portfolio_models.risk_parity_portfolio.RiskParityPortfolio

Class used for constructing a portfolio in which weight of each asset is proportional to the inverse volatility that it has.