PyPortfolioOpt

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Max/Min Number of Assets for the optimized Portfolio (pypfopt.efficient_frontier.EfficientCVaR)

3

**What are you trying to do?** I am optimizing via the pypfopt.efficient_frontier.EfficientCVaR (mainly with efficient_risk() / efficient_return()) I was wondering how one could implement a min. or max. limit regarding...

fstuelzebach

Bumps [certifi](https://github.com/certifi/python-certifi) from 2023.5.7 to 2023.7.22. Commits 8fb96ed 2023.07.22 afe7722 Bump actions/setup-python from 4.6.1 to 4.7.0 (#230) 2038739 Bump dessant/lock-threads from 3.0.0 to 4.0.1 (#229) 44df761 Hash pin Actions and...

dependabot[bot]

https://github.com/robertmartin8/PyPortfolioOpt/blob/master/cookbook/4-Black-Litterman-Allocation.ipynb is it possible to do a long/short allocation here?

anarchy89

ArpackNoConvergence: ARPACK error -1: No convergence (951 iterations, 0/1 eigenvectors converged)

1

**Describe the bug** There appears to be an underlying issue with how the CVXPY library checks that the matrix in the problem is Positive Semi-Definite. In short, [CVXPY calls `scipy.sparse.linalg.eigsh`...

AveryLevin

Handling the singular matrix error. If an inversion of the matrix is not possible, then solve the linear equation by least squares methods. Else, we are getting a lot of...

Athe-kunal

Ahmedd-Ibrahim

Calculating CVaR - can't replicate the results I see in the portfolio_performance

8

**What are you trying to do?** I am trying to understand the calculation of CVaR after optimization. **What have you tried?** Multiplying the optimal weights with the returns dataframe, sum(axis=1),...

OriKatz1

Bumps [requests](https://github.com/psf/requests) from 2.30.0 to 2.31.0. Release notes Sourced from requests's releases. v2.31.0 2.31.0 (2023-05-22) Security Versions of Requests between v2.3.0 and v2.30.0 are vulnerable to potential forwarding of Proxy-Authorization...

dependabot[bot]

Feature request: implementation of the paper quantized portfolio theory, Kelly optimal portfolio

1

this library is a nice compendium of various optimal portfolio allocations. I think it would enrich this library even further by implementing a Kelly optimal portfolio following this paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3853181.

KIC

Easy way to save the stock weights for all portfolios on the efficient frontier

1

**What are you trying to do?** I created the efficient frontier based on a group of stocks and plotted the efficient frontier from 200 points. Is there an **easy way**...

avrenli2