sandbox-portfolio-optimization-cvxpy

CVXPY Portfolio Optimization Sample

theory

https://anaconda.org/wolfws/portfolio_optimization/notebook

CVXPY functions to math formulas translation:

http://www.cvxpy.org/en/latest/tutorial/dcp/index.html http://www.cvxpy.org/en/latest/tutorial/functions/ https://github.com/cvxgrp/cvxpy/tree/master/examples/notebooks https://github.com/cvxgrp/cvxpy/blob/master/cvxpy/tests/test_examples.py https://github.com/cvxgrp/cvxpy/blob/master/examples/notebooks/simple_portfolio_data.py

http://stackoverflow.com/questions/37007596/cvxpy-how-to-optimize-weight-vector

http://mechanicalforex.com/2016/04/computational-cost-of-portfolio-optimizations-using-cvxpy.html http://quant.stackexchange.com/questions/30871/how-to-build-a-market-neutral-portfolio-using-cvxpy http://stackoverflow.com/questions/38212680/cvxpy-country-sector-industry-like-constraints-for-min-variance-optimization https://groups.google.com/forum/#!topic/cvxpy/N247K_XpTXs http://web.stanford.edu/~boyd/