Portfolio (fynance.portfolio)ΒΆ

Portfolio allocation algorithms and rolling walk-forward wrappers.

Portfolio allocation

Equal Risk Contribution (ERC), Hierarchical Risk Parity (HRP), Inverse Variance Portfolio (IVP), Maximum Diversified Portfolio (MDP), Minimum Variance Portfolio (MVP, MVP_uc) and a rolling walk-forward wrapper.

Portfolio allocation
Risk decomposition

Marginal and absolute risk contributions of assets to portfolio volatility, with causal rolling decomposition.

Risk decomposition
Constraint projection

Least-distance projection of weights onto a box, gross-leverage cap, net-exposure range and named group bounds.

Constraint projection
Rebalancing & delay

Calendar, no-trade band and turnover-capped rebalancing with weight drift, whole-lot discretization and execution delay.

Rebalancing & delay
Position sizing

Fractional Kelly, volatility targeting and transaction costs.

Position sizing
Conditioned covariance

Sample covariance, Ledoit-Wolf shrinkage, exponentially weighted, factor-model and Marchenko-Pastur denoised estimators.

Conditioned covariance