Welcome to azapy project - Financial Portfolio Optimization Algorithms

An open source python library for everyone.

Implements a large spectrum of portfolio optimization techniques. Performs in and out-of sample portfolio analysis.

Package source code: here

Package installation: pip install azapy

Risk-based portfolio optimizations

• Introduction
• mCVaR-based optimal portfolios
• mSMCR-based optimal portfolios
• mEVaR-based optimal portfolios
• mMAD-based optimal portfolios
• mLSD-based optimal portfolios
• mBTAD-based optimal portfolios
• mBTSD-based optimal portfolios
• mGINI-based optimal portfolios
• mSD-based optimal portfolios
• mMV-based optimal portfolios

Naïve portfolios

• Introduction
• Buy and Hold portfolio
• Constant weighted portfolio
• Inverse Volatility portfolio
• Inverse Variance portfolio
• Inverse Drowdwon portfolio

Greedy portfolio optimizations

• Introduction
• Kelly optimal portfolio
• Universal portfolio

Market Selectors

• Introduction
• Null Selectors
• Dual Momentum Selectors
• Correlation Clustering Selector

Model Generators

• Weights Model Pipeline
• Portfolio Generator

Utility functions

• Backtesting of portfolios with external schedule of weights
• Read historical market data
• summary_MkTdata
• NYSEgen
• add_cash_security
• update_MkTdata
• Schedules functions
• N-simplex random vectors generators

Modules

• azapy

Indices and tables

• Index

• Module Index

• Search Page