Portfolio (fynance.portfolio)ΒΆ
Portfolio allocation algorithms and rolling walk-forward wrappers.
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.
Marginal and absolute risk contributions of assets to portfolio volatility, with causal rolling decomposition.
Least-distance projection of weights onto a box, gross-leverage cap, net-exposure range and named group bounds.
Calendar, no-trade band and turnover-capped rebalancing with weight drift, whole-lot discretization and execution delay.
Fractional Kelly, volatility targeting and transaction costs.
Sample covariance, Ledoit-Wolf shrinkage, exponentially weighted, factor-model and Marchenko-Pastur denoised estimators.