Examples

The following examples are available:

Return Risk Portfolio Optimization Models

• Mean Risk Portfolio Optimization using historical estimates.

• Mean Risk Portfolio Optimization using custom estimates (mean and covariance).

• Ulcer Index Portfolio Optimization for Mean Risk and Risk Parity.

• Entropic Value at Risk (EVaR) Portfolio Optimization for Mean Risk and Risk Parity.

• Riskfolio-Lib with MOSEK for Real Applications (612 assets and 4943 observations).

• Entropic Drawdown at Risk (EDaR) Portfolio Optimization for Mean Risk and Risk Parity.

• Logarithmic Mean Risk (Kelly Criterion) Portfolio Optimization.

• Worst Case Mean Variance Portfolio Optimization using box and elliptical uncertainty sets.

• Comparing Covariance Estimates Methods.

• Gini Mean Difference (GMD) Portfolio Optimization for Mean Risk and Risk Parity.

• Tail Gini Range Portfolio Optimization for Mean Risk and Risk Parity.

• Ordered Weighted Averaging (OWA) Portfolio Optimization.

• Kurtosis Portfolio Optimization for Mean Risk and Risk Parity.

• Semi Kurtosis Portfolio Optimization for Mean Risk and Risk Parity.

• Relativistic Value at Risk (RLVaR) Portfolio Optimization for Mean Risk and Risk Parity.

• Relativistic Drawdown at Risk (RLDaR) Portfolio Optimization for Mean Risk and Risk Parity.

• Higher L-Moments OWA Portfolio Optimization for Mean Risk and Risk Parity.

Special Constraints

• Index tracking/replicating portfolios.

• Short and leveraged portfolios.

• Portfolio Optimization with Constraints on Return and Risk Measures.

• Portfolio Optimization with Dollar Neutral Constraint.

• Portfolio Optimization with Constraints on Number of Assets and Number of Effective Assets.

Risk Factors Models

• Mean Risk Portfolio Optimization using risk factors models and stepwise regression.

• Mean Risk Portfolio Optimization using risk factors models and principal component regression.

• Fixed Income Portfolio Optimization and Immunization.

• Vanilla Risk Parity Optimization using risk factors models and stepwise regression.

Black Litterman Models

• Mean Risk Portfolio Optimization using Black Litterman model.

• Mean Risk Portfolio Optimization using Black Litterman with Factors model (Black Litterman Bayesian and Augmented Black Litterman).

Risk Parity Models

• Vanilla Risk Parity Portfolio Optimization using historical estimates.

• Relaxed Risk Parity Portfolio Optimization.

• Risk Parity with Constraints using the Risk Budgeting Approach.

• Risk Parity with a Risk Constraint per Classes.

• Risk Parity with Risk Factors.

Hierarchical Clustering Portfolio Optimization

• Hierarchical Risk Parity (HRP) Portfolio Optimization.

• Hierarchical Equal Risk Contribution (HERC) Portfolio Optimization.

• Hierarchical Equal Risk Contribution with equally weights within clusters (HERC2) Portfolio Optimization.

• Hierarchical Risk Parity with Constraints.

• Nested Clustered Optimization (NCO).

• Hierarchical Portfolios with Custom Covariance.

• Hierarchical Equal Risk Contribution (HERC) with Constraints.

• Nested Clustered Optimization (NCO) with Constraints.

Graph Theory Constraints

• Hierarchical Clustering and Networks.

• Classic Mean Risk Optimization with Network and Dendrogram Constraints.

Backtesting

• Multi Assets Algorithmic Trading Backtesting with transaction cost and slippage using Backtrader (matplotlib=3.2.2 for compatibility with backtrader=1.9.76.123).

• Multi Assets Algorithmic Trading Backtesting with Vectorbt (vectorbt=0.23.0).

Excel and Reporting

• Riskfolio-Lib and Xlwings.

• Riskfolio-Lib Reports in Jupyter Notebook and Excel.