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
• mMAD-based optimal portfolios
• mLSD-based optimal portfolios
• mBTAD-based optimal portfolios
• mBTSD-based optimal portfolios
• GINI-based optimal portfolios
• SD-based optimal portfolios
• MV-based optimal portfolios

Naïve portfolios

• Introduction
• Buy and Hold portfolio
• Constant weighted portfolio
• Inverse volatilities portfolio
• Inverse variances portfolio
• Inverse drawdowns portfolio

Greedy portfolio optimizations

• Introduction
• Kelly optimal portfolio

Utility functions

• Read historical market data
• summary_MKTData
• NYSEgen
• add_cash_security
• update_all_mkTData

Indices and tables

• Index

• Module Index

• Search Page