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fynance.algorithms.allocation.ERC

# Portfolio allocation¶

Currently this module contains only five algorithms: Equal Risk Contribution (ERC), Hierarchical Risk Parity (HRP), Inverse Variance Portfolio (IVP), Maximum Diversified Portfolio (MDP), Minimum Variance Portfolio constrained (MVP) and unconstrained (MVP_uc).

The module contains also an object to roll these allocations algorithms (rolling_allocation).

## Allocation algorithms¶

 fynance.algorithms.allocation.ERC(X[, w0, …]) Get weights of Equal Risk Contribution portfolio allocation. fynance.algorithms.allocation.HRP(X[, …]) Get weights of the Hierarchical Risk Parity allocation. fynance.algorithms.allocation.IVP(X[, …]) Get weights of the Inverse Variance Portfolio allocation. fynance.algorithms.allocation.MDP(X[, w0, …]) Get weights of Maximum Diversified Portfolio allocation. fynance.algorithms.allocation.MVP(X[, normalize]) Get weights of the Minimum Variance Portfolio allocation. fynance.algorithms.allocation.MVP_uc(X[, …]) Get weights of the Minimum Variance Portfolio under constraints.

## Rolling object¶

 fynance.algorithms.allocation.rolling_allocation(f, X) Roll an algorithm of portfolio allocation.