PyPortfolioOpt

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L2 Regularization for Sparsity?

5

L2 regularization as explained in your documentation penalizes large weights and hence would make your portfolio more diverse. I don't think that it has a positive effect on eliminating negligible...

kayuksel

Feature request: incorporate Wilcox's higher moment algorithm

3

See github jarrodwilcox/wealthmate_lab for the jupyter notebook higher moments to get started. For background, see the current online issue of the Journal of Asset Management for the article Better Portfolios...

jarrodwilcox

When optimizing a portfolio using the `efficient_risk` objective function, how can I add an objective that says the resulting portfolio must have a total yield (dividends and interest) of say...

Token-DAO

Compounding of log returns

2

https://github.com/robertmartin8/PyPortfolioOpt/blob/6644741ff27fca5f2aaeefd63e31d157cfd718ae/pypfopt/expected_returns.py#L145 As a follow up on similar issues from #241, shouldn't `log_returns=True` affect how compounding is done as per `compounding=True`? I was under impression that log returns are additive and...

Alexander-Shukaev

ValueError: P must be symmetric/Hermitian.

1

**What are you trying to do?** I'm just trying to get familiar with PyPortfolioOpt. The code I am using is below. ``` mu = pypfopt.expected_returns.mean_historical_return(data) S = pypfopt.risk_models.sample_cov(data) ef =...

mezog

"ValueError: Weights is None" for Efficient Frontier Plot

4

I'm trying to generate an Efficient frontier plot but continue to get the same error - "ValueError: Weights is None". The code I have used is as follows: ```python import...

PooratPython

I feel this is just a minor bug. Sorry if it is not. **Describe the bug** Docker build failed due to dir name mismatch. In project root dir, cookbook need...

yosukesan

Bumps [nbconvert](https://github.com/jupyter/nbconvert) from 6.5.0 to 6.5.1. Commits 7471b75 Release 6.5.1 c1943e0 Fix pre-commit 8685e93 Fix tests 0abf290 Run black and prettier 418d545 Run test on 6.x branch bef65d7 Convert input...

dependabot[bot]

**What are you trying to do?** setting min and max weights on the stocks for "max_quadratic_utility" , with market_netural=True how can we add the contraints for min & max weights...

blackivory

Practical application

3

**What are you trying to do?** I am trying to make sense of the output **What data are you using?** I generate my own stock_prices.csv with my current portfolio and...

ErfolgreichCharismatisch