PyPortfolioOpt

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UserWarning: max_sharpe transforms the optimization problem so additional objectives may not work as expected.

1

I have been running this portfolio optimization function and getting the following warning, `pypfopt\efficient_frontier\efficient_frontier.py:257: UserWarning: max_sharpe transforms the optimization problem so additional objectives may not work as expected.` Why might...

nathanramoscfa

Incorporating broker's margin interest rate into the model?

1

**What are you trying to do?** With a long/short portfolio, the short side will be charged a margin interest rate by the broker...for example e-trade currently charges between 11.2% to...

nathanramoscfa

Error when adding sector constraints to EfficientCVaR Class

1

Dear Team, when trying to add sector constraints to the EfficientCVaR (using: ef_cvar.add_sector_constraints(sector_mapper, sector_lower, sector_upper)) it returns the following error: **is_sector = [sector_mapper[t] == sector for t in self.tickers] KeyError:...

NiciNikolina

**What are you trying to do?** I have a script to check portfolio performance for 4 different methods(CVaR, mean_veriance, etc..) for the last year. I want to compare the long/short...

Originn

Feature request: Replace cvxpy by cvxpy-base

4

Hi Robert, I can work on this feature during my holiday. Most professional shops (they all use your package) use professional solvers such as Mosek or Gorubi. The solvers that...

tschm

Hi I'm creating a long short market neutral portfolio using following function. ``` ef.max_quadratic_utility(market_neutral=True) ``` and I have the net exposure constraint also. ``` def create_gross_exposure_constraint(w): return cp.norm1(w)

AnkitAggarwalAlphagrep

Suggestion on DiscreteAllocation class for regular rebalancing

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Hello, Robert I found your DiscreteAllocation.greedy_portfolio() in pypfopt while implementing a regular rebalancing task. However, my challenge was that my situation was not SIMPLY convert continuous weights to discrete allocation....

HYANGKI-LEE

Question: Pareto Frontier Clarification

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**What are you trying to do?** For clarification, the `efficient_frontier()` doing `return list, std list, weight list` is this referring to three lists of return, risk, and weights? If so,...

BradKML

Show-and-Tell: Applying selected consumer "demographic investing"

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Problem: Finding the right way to create a pareto frontier for certain consumer demographics. Weirdly enough `deepcopy` is needed when both frontier finding and Sharpe-optimization. Question: 1. How does one...

BradKML

Add fama-french 3 and fama-french 5 factors (can be also 4 or 6) for expected returns

3

I trying to be more reliable on expected returns calculation by using Fama-French 3 and 5 factors- Add a new functionality as (mean_historical_return, ema_historical_return or capm_return) to return ff3 or...

nikrizzi