Skip to content

v0.13.2

Latest

Choose a tag to compare

@github-actions github-actions released this 22 Sep 10:57

Portfolio Construction. Nothing is removed or renamed: every subpath published
in 0.13.1 resolves unchanged, and no entry point changed its name, signature
or behaviour.

0.13.1 0.13.2
Topics 697 717
Domains 18 19
Topics with a validated api contract 697 / 697 717 / 717
Topics with an executed worked example 697 717
Topics whose arithmetic is asserted on every build 623 623

New

  • Portfolio Construction — 20 topics, the first domain here that turns a
    covariance matrix into a set of weights. Mean-risk optimization (Markowitz
    against a return target, global minimum variance, maximum Sharpe, mean-CVaR,
    mean-MAD), risk allocation (inverse volatility, equal risk contribution, risk
    budgeting, hierarchical risk parity and its equal-risk-contribution variant),
    Bayesian and robust allocation (Black-Litterman, resampled frontier, robust
    and distributionally robust mean-variance, Kelly), and the practical
    constraints that decide whether any of it survives contact with a real book —
    turnover, transaction costs, cardinality, gross/net exposure, and tax-aware
    lot selection.

    Each takes its inputs positionally and by name rather than through a topic id,
    and each validates before it solves: an asymmetric covariance matrix, an
    infeasible return floor or a budget that does not sum to one is refused rather
    than quietly worked around.

Known gap

These 20 ship at contract tier — their signature is checked on every build,
but nothing here replays their arithmetic. The expected numbers exist; they sit
in each topic's tests/ directory in a shape the conformance harness does not
yet read, so this is a wiring gap and not an absence of evidence. It brings the
unasserted count to 94 of 717.