PyPortfolioOpt

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Feature request: Hierarchical Equal Risk Contribution

1

**Is your feature request related to a problem?** An upgrade to the HRP (Hierarchical Risk Parity) implementation **Describe the feature you'd like** An implementation of Hierarchical Equal Risk Contribution, which...

iron-marshal

I skimmed through a paper titled "A constrained hierarchical risk parity algorithm with cluster-based capital allocation"(by Katzke and Pfitzinger), which compared variations of HRP with other portfolio optimization models. In...

michaelmech

Feature request: Monte Carlo optimisation with custom distributions

4

Hello Robert, I see "Monte Carlo optimization with custom distributions" in your road map. Definitely it will make this library highly flexible if there is an option to run Monte...

sabirjana

Optimizing for max sortino

3

**What are you trying to do?** I'm trying to optimize for max sortino using PyPortfolioOpt. **What have you tried?** I've gone through the EfficientSemivariance docs, but could not find a...

cemozerr

Min/Man number assets nor working well

4

Please guide me on how to get the right min/max value for the number of assets. I am working to maximize a set of score objectives with a min/max number...

amos-peter

Consider transaction cost during discrete_allocation

1

**What are you trying to do?** I'm using `discrete_allocation` to convert my percentage allocation into number of shares I need to buy to get as close as possible to target...

mgrytsai

Hi, plain vanilla HRP portfolio optimisation tends to allocate too much weight on assets with low volatility. It would be good for users to have the option to impose a...

ghost

Could not install on Windows Anaconda

13

**Operating system, environment, python version** Windows 10, anaconda, python3.8.5 **What you tried** pip install pyportfolioopt **Error message** ERROR: Command errored out with exit status 1: 'C:\Users\guna3\anaconda3\python.exe' 'C:\Users\guna3\anaconda3\lib\site-packages\pip\_vendor\pep517\_in_process.py' prepare_metadata_for_build_wheel 'C:\Users\guna3\AppData\Local\Temp\tmptl_ro7gy' Check...

gunavanthmahendra

Feature request: [Hierarchial Risk Parity Model]

5

I am making a Hierarchial risk parity Model as my project. Since it was on your roadmap, will like to create a pull request. I definitely will take some time...

adityaabothra

How to add Risk Contribution/Risk Parity Constraint?

2

In the following code, I have two questions. 1. How do I add a risk parity constraint where each holding contributes an equal amount of risk? 2. How do I...

x829901