{"repo":"thk3421-models/KellyPortfolio","free":true,"listed":false,"github":"https://github.com/thk3421-models/KellyPortfolio","clone":"git clone https://github.com/thk3421-models/KellyPortfolio.git","description":"A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations","language":"Python","stars":96,"topics":["kelly-criterion","kelly","portfolio","optimization","finance","trading","stocks","cryptocurrency","bonds"],"license":"MIT","category":"trading","readme_excerpt":"KellyPortfolio Thomas Kirschenmann thk3421@gmail.com Motivation The goal of this project is to assist an investor by calculating the Kelly optimal portfolio allocation, conditional on the investor's view of expected returns and covariance of the assets. It is logical to separate portfolio allocation from the price prediction forecasts. Everyone has their own view on the difficulty or outright futility of predicting future market prices (active managers vs. strict efficient market hypothesis followers). Despite these differences, all portfolio managers are required to allocate capital among risky assets. They are forced to answer the question: \"conditional on my views of the future, what is the optimal portfolio allocation that maximizes growth?\" This project provides the Kelly Portfolio allocation for users with their own views (forecasts) on the expected returns and covariances of future prices. The user can input their own expected returns in a config file, and the code will download historical prices from Yahoo! Finance, calculate the covariance of daily returns, and then calculate the Kelly portfolio. Importantly, the code assumes that the historical covariance matrix is representative of the future covariance matrix. As an option, the user can use historical returns as the expectation of future returns, and see how that changes the Kelly Portfolio. See the Usage section for detail on how to set up the config file. The intended usage of this program is to view the Kelly P","default_branch":null,"files":null,"tree":[],"storefront":"/r/thk3421-models","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/thk3421-models/KellyPortfolio/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."}