Skip to content

Latest commit

 

History

History
161 lines (107 loc) · 6.13 KB

CHANGELOG.rst

File metadata and controls

161 lines (107 loc) · 6.13 KB
Raw

Changelog

Buy Me a Coffee at ko-fi.com

Version 3.0.0

  • Implements 5 additional risk measures for mean risk model: Gini Mean Difference, Tail Gini, Range, CVaR range and Tail Gini range.
  • Implements 4 additional risk measures for risk parity model: Gini Mean Difference, Tail Gini, CVaR range and Tail Gini range.
  • Implements the OWA Portfolio Optimization model for custom vector of weights and a module to build OWA weights for some special cases.
  • Implements a function to plot range risk measures.
  • Adds the option to use Graphical Lasso, j-Logo, denoising and detoning covariance estimates.

Version 2.0.0

  • Implement Nested Clustered Optimization (NCO) model with four objective functions.
  • Implements the Relaxed Risk Parity model.
  • Implements the Risk Budgeting approach for Risk Parity Portfolios with constraints.
  • Adds the option to use custom covariance in Hierarchical Clustering Portfolios.

Version 1.0.0

  • Redesigns of Riskfolio-Lib interface (Only import riskfolio for all functions).
  • Implements Hierarchical Risk Parity (HRP) model with constraints on assets' weights.
  • Implements a function that helps to build constraints for the HRP model.
  • Implements the Direct Bubble Hierarchical Tree (DBHT) linkage method for HRP and HERC models.
  • Implements a function that plots relationship among assets in a network using Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph (PMFG).
  • Adds two new codependence measures: mutual information and lower tail dependence index.

Version 0.4.0

  • Implements Hierarchical Equal Risk Contribution with equally weights within clusters (HERC2).
  • Implements a function that help us to discretize portfolio weights into number of shares given an investment amount.
  • Implements the option to select the method to estimate covariance in HRP, HERC and HERC2.
  • Adds the option to add constraints on the number of assets and the number of effective assets.
  • Fixes an error in two_diff_gap_stat() when number of assets is too small.
  • Fixes an error on forward_regression() and backward_regression() when there is no significant feature in regression modes using p-value criterion.
  • Adds an example that shows how to build HERC2 portfolios.
  • Adds an example that shows how to build constraints on the number of assets and number of effective assets.

Version 0.3.0

  • Implements Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk Parity (HERC).
  • Implements the function plot_clusters() and plot_dendrogram() that help us to identify clusters based on a distance correlation metric.
  • Implements the function assets_clusters() that help us to create asset classes based on hierarchical clusters.
  • Adds an example that shows how to build Hierarchical Risk Parity portfolios.
  • Adds an example that shows how to build Hierarchical Equal Risk Parity portfolios.

Version 0.2.0

  • Implements Logarithmic Mean Risk (Kelly Criterion) Portfolio Optimization models.
  • Implements the function plot_bar() that help us to plot portfolios with negative weights.
  • Adds the option to build dollar neutral portfolios.
  • Adds an example that shows how to build Logarithmic Mean Risk (Kelly Criterion) portfolios.
  • Adds an example that shows how to build dollar neutral portfolios.

Version 0.1.5

  • Adds the option to add a constraint on minimum portfolio return.
  • Adds an example of how to add constraints on portfolio return and risk measures.

Version 0.1.4

  • Adds Black Litterman with factors in two flavors: Black Litterman Bayesian model and Augmented Black Litterman model.
  • Implements factors_views, a function that allows to design views on risk factors for Black Litterman with factors.
  • Repairs some bugs.

Version 0.1.2

  • Adds Entropic Drawdown at Risk for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization.
  • Repairs some bugs.

Version 0.1.1

  • Repairs some bugs in Portfolio related to Semi Variance and UCI.
  • Implements an option to annualize returns and risk in plot_frontier, Jupyter Notebook and Excel reports.
  • Adds examples using Vectorbt for Backtesting and MOSEK for large scale problems.

Version 0.1.0

  • Repairs some bugs in RiskFunctions.
  • Implements the Reports module that helps to build reports on Jupyter Notebook and Excel.
  • Implements plot_table, a function that resume some indicators of a portfolio.
  • Adds Entropic Value at Risk for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization.

Version 0.0.7

  • Implements normal assumption method to estimate box and elliptical uncertainty sets for Worst Case Optimization.
  • Implements elliptical uncertainty sets for covariance matrix.
  • Adds Ulcer Index for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization.
  • Implements functions to calculate Ulcer Index.

Version 0.0.6

  • Repairs some bugs.
  • Implements bootstrapping methods to estimate box and elliptical uncertainty sets for Worst Case Optimization.
  • Implements Worst Case Mean Variance Portfolio Optimization using box and elliptical uncertainty sets.

Version 0.0.5

  • Repairs some bugs.
  • Implements Risk Parity Portfolio Optimization for 7 convex risk measures.

Version 0.0.4

  • Repairs some bugs.
  • Update to make it compatible with cvxpy >=1.1.0
  • Implements Principal Component Regression for loadings matrix estimation.
  • Adds Akaike information criterion, Schwarz information criterion, R squared and adjusted R squared feature selection criterions in stepwise regression.

Version 0.0.3

  • Repairs some bugs.
  • Implements an option for building constraints common for all assets classes.

Version 0.0.2

  • Repairs some bugs.

Version 0.0.1

  • Implements robust and ewma estimates.
  • Implements Black Litterman model and risk factors models.
  • Implements mean risk optimization with 10 risk measures.