Sysfolio

Systematic Portfolio Optimization

~ Under development (as of September 2024)

Note: This repository is VERY alpha, bare bones next to nothing stuff. The intention is to flush the material out over the course of a year to a usable state. The python library will be the spotlight, but other directories will hold research notebooks.

Developing and deploying an end-to-end python package for portfolio construction and optimization, the objective of this endeavor is to explore this space of computational finance and create something worthwhile along the way.

Some of the models that will be implemented are:

• Classical Markowitz Mean-Variance
• Mean - Semivariance
• Black - Litterman + Variants
• Hierarchical Clustering
• Stereoscopic
• Boltzmann methods
• Eigen portfolios

References:

• Quantitative Portfolio Management - Isichenko
• Advanced Portfolio Management - Paleologo

Installation

The latest stable release (and older versions) can be installed from PyPI:

pip install sysfolio

Citation

If you use Sysfolio for published work, please use the following BibTeX entry:

@misc{sysfolio,
      author = {Atheesh Krishnan},
      title = {sysfolio (0.0.1)},
      year  = {2023},
      url   = {https://github.com/atkrish0/sysfolio},
      }

Development

Sysfolio development takes place on Github: https://github.com/atkrish0/sysfolio

Usage

tbd

Examples

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