Examples¶

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.

• Mean 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.

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

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

• Mean Even Moment of Order 2p Optimization.

• Mean Even Semi Moment of Order 2p Optimization.

• Mean Variance Skewness Kurtosis Optimization.

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.

• Portfolio Optimization with Integer Constraints.

Risk Factors Models¶

• Mean Risk Portfolio Optimization using Risk Factors and Stepwise Regression.

• Mean Risk Portfolio Optimization using Risk Factors and Principal Component Regression.

• Fixed Income Portfolio Optimization and Immunization.

• Vanilla Risk Parity Optimization using Risk Factors and Stepwise Regression.

• Mean Kurtosis Portfolio Optimization using Risk Factors.

Black Litterman Models¶

• Mean Risk Portfolio Optimization using Black Litterman Model.

• Mean Risk Portfolio Optimization using Black Litterman Model and Risk Factors Models (Black Litterman Bayesian and Augmented Black Litterman).

• Black Litterman with Adanos Market Sentiment Views (Commercial API).

• Mean Risk Optimization using Entropy Pooling.

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.

• Mean Variance Portfolio Optimization with Risk Contribution Inequalities Constraints.

• Mean Variance Portfolio Optimization with Risk Factor Contribution Inequalities Constraints.

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 using Backtrader (matplotlib=3.2.2 for compatibility with backtrader=1.9.76.123. We don’t recommend to try to reproduce this example due the compatibility problems of Backtrader).

• Multi Assets Algorithmic Trading Backtesting using Vectorbt (vectorbt=0.26.1).

Excel and Reporting¶

• Riskfolio-Lib and Xlwings.

• Riskfolio-Lib Reports in Jupyter Notebook and Excel.