financialkit.portfolio
======================


.. include:: /_generated/nav/portfolio.rst

Markowitz's efficient frontier, closed form and long-only through
``scipy.optimize.minimize``; Merton's analytic constants; Tobin's
tangency portfolio and two-fund separation; the Kelly criterion,
Merton's portfolio problem (wealth simulated through
:func:`financialkit.integrators.gbm_paths`) and CPPI; Sharpe's
single-index model and Ledoit-Wolf shrinkage; Black-Litterman and
Michaud resampling; Rockafellar-Uryasev CVaR optimization
(``scipy.optimize.linprog``), the most-diversified portfolio, risk
parity and hierarchical risk parity (``scipy.cluster.hierarchy``); the
Sharpe, Sortino and information ratios, Grinold's fundamental law and
rolling out-of-sample tests against 1/N.

.. automodule:: financialkit.portfolio
   :members:
   :undoc-members: