{"repo":"Mircea-MMXXI/azapy","free":true,"listed":false,"github":"https://github.com/Mircea-MMXXI/azapy","clone":"git clone https://github.com/Mircea-MMXXI/azapy.git","description":"Financial Portfolio Optimization Algorithms","language":"Jupyter Notebook","stars":62,"topics":["finance","quantitative-finance","portfolio-optimization","cvar-optimization","smcr-optimization","mad-optimization","gini-optimization","mv-optimization","sd-optimization","omega-optimization"],"license":"GPL-3.0","category":"trading","readme_excerpt":"azapy project Financial Portfolio Optimization Algorithms An open-source python library for everybody Author: Mircea Marinescu email: Mircea.Marinescu@outlook.com Package documentation Package installation: pip install azapy A graphical user interface is provided by azapyGUI package. Contents A. Risk-based portfolio optimization algorithms 1. mCVaR - mixture CVaR (Conditional Value at Risk) 2. mSMCR - mixture SMCR (Second Moment Coherent Risk) 3. mMAD - m-level MAD (Mean Absolute Deviation) 4. mLSD - m-level LSD (Lower Semi-Deviation) 5. mBTAD - mixture BTAD (Below Threshold Absolute Deviation) 6. mBTSD - mixture BTSD (Below Threshold Semi-Deviation) 7. GINI - Gini index (as in Corrado Gini statistician 1884-1965) 8. SD - standard deviation 9. MV - variance (as in mean-variance model) 10. mEVaR - mixture EVaR (Entropic Value at Risk) (beta version) For each class of portfolio the following optimization strategies are available 1. Optimal-risk portfolio for targeted expected rate of return value 2. Sharpe-optimal portfolio - maximization of generalized Sharpe ratio 3. Sharpe-optimal portfolio - minimization of inverse generalized Sharpe ratio 4. Minimum risk portfolio 5. Optimal-risk portfolio for a fixed risk-aversion factor 6. Optimal-risk portfolio with the same risk value as a benchmark portfolio (e.g., same as equal weighted portfolio) 7. Optimal-diversified portfolio for targeted expected rate of return (minimization of inverse 1-D ratio) (beta version) 8. Optimal-divers","default_branch":null,"files":null,"tree":[],"storefront":"/r/Mircea-MMXXI","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/Mircea-MMXXI/azapy/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}