kirgush/cvxportfolio

Portfolio optimization and simulation in Python

cvxportfolio

The documentation of the package is given at cvxportfolio.org.

cvxportfolio is a python library for portfolio optimization and simulation, based on the paper Multi-Period Trading via Convex Optimization. It is written in Python, its major dependencies are cvxpy and pandas.

If you wish to cite CVXPortfolio, please use:

@article{BBDKKNS:17,
    author       = {S. Boyd and E. Busseti and S. Diamond and R. Kahn and K. Koh and P. Nystrup and J. Speth},
    title        = {Multi-Period Trading via Convex Optimization},
    journal      = {Foundations and Trends in Optimization},
    year         = {2017},
    month        = {August},
    volume       = {3},
    number       = {1},
    pages        = {1--76},
    publisher    = {Now Publishers},
    url          = {http://stanford.edu/~boyd/papers/cvx_portfolio.html},
}

Installation

To install the package:

pip install cvxportfolio

To test it:

pip install nose
nosetests cvxportfolio