nipungo/myprojects

Port_analysis_kit.py - This file contains basic functions to do analysis and optimization of the portfolio Following are the analysis tools present in the file- - skewness, kurtosis, sharpe ratio, drawdown, semideviation, Conditional value at risk, Gaussian value at risk. Foolowing are the computational tools present in the file- - weights of the stocks that can minimize volatility - weights of the stocks that maximizes sharpe ratio - Global minimum variance portfolio Following are the drawing tools present in the file- - to plot the efficient frontier. Following are the prediction tools present in the file- - Evolution of Geometric Brownian Motion trajectories, such as for Stock Prices through Monte Carlo - The evolution of interest rates by Cox–Ingersoll–Ross (CIR) model. - The current and future prices along with the return of the given bond - To find out the Macauly duration of the given security Following are the optimization tools present in the file- - To run the constant proportion portfoio insurance(CPPI) strategy to optimize the given portfolio. - To hedge the given portfoio with the risk free asset (bonds) by using several types of allocator. - fixed ratio mixing allocation - Glidepath allocation (Allocates weights to r1 starting at start_glide and ends at end_glide by gradually moving from start_glide to end_glide over time) - floor allocation (Allocate between PSP and GHP with the goal to provide exposure to the upside of the PSP without going violating the floor. Uses a CPPI-style dynamic risk budgeting algorithm by investing a multiple of the cushion in the PSP) (PSP: Profit Seeking Portfolio, GHP: Goal hedging portfolio) - drawdown allocation.