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. |