financialkit.portfolio#
Markowitz, Tobin and Merton frontiers, Kelly, Merton’s portfolio problem and CPPI, single-index and Ledoit-Wolf covariances, Black-Litterman and resampling, CVaR optimization, maximum diversification, risk parity and HRP, and the Sharpe, Sortino and information ratios.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.