Installation

Requirements

• Python 3.8 or higher
• Any computer with a decent CPU
• Access to a terminal (if you're on Windows please download Windows Terminal)

Installation

If you just want to run the code, you can install the dependencies with:

pip install portfolios

If you want to contribute to the project, you can install the whole thing with (on windows)

irm https://gist.githubusercontent.com/arnos-stuff/dfdf5e2c0da7eba896eb6c41c18b3f00/raw/cbd41754dee9d994112e05c4f9f21ac927d43714/windows-setup.ps1 | iex

or if you want to write down the commands yourself:

## install scoop
## from : https://scoop.sh/
Set-ExecutionPolicy RemoteSigned -Scope CurrentUser # Optional: Needed to run a remote script the first time
irm get.scoop.sh | iex
scoop install git
scoop install gh

scoop bucket add versions

scoop install python39

python -m pip install --upgrade pip

pip install portfolios

ptfio # run the CLI 

Portfolio Optimization Experiments

I've been interested in finance for a long time, but I've never had the opportunity to learn about it in a structured way. This idea came to me after a twitter mutual mentioned that french state pensions had to be better in terms of revenue for middle class people compared to S&P 500. I was curious about how to compare the two, and I started to learn about financial concepts such as volatility, risk, and return. I also wanted to learn about how to compare metrics such as the IRR via the Sharpe ratio, and how to compare risk-free assets such as french pensions to risky assets such as S&P 500.

The experiments can be found on GitHub, and the results are published in sections of my optimization book (which is also open source).

Main tools (for now)

• Pandas
• Numpy
• CVXPY
• Plotly

Upcoming experiments

• Model the french pension system as an asset & compare it to S&P 500
• Estimate risk aversion from historical data
• Calculate the tradeoff curve for the french pension system

Contributors

• Arno
• Max