Examples

We recommend starting with Maximum Sharpe Ratio or Minimum CVaR before moving to more advanced examples.

Mean-Risk

Examples using the MeanRisk optimization.

Maximum Sharpe Ratio

Maximum Sharpe Ratio

Minimum CVaR

Minimum CVaR

Efficient Frontier

Efficient Frontier

Mean-Variance-CDaR Surface

Mean-Variance-CDaR Surface

Weight Constraints

Weight Constraints

Transaction Costs

Transaction Costs

Management Fees

Management Fees

L1 and L2 Regularization

L1 and L2 Regularization

Uncertainty Set

Uncertainty Set

Tracking Error

Tracking Error

Empirical Prior

Empirical Prior

Black & Litterman

Black & Litterman

Factor Model

Factor Model

Black & Litterman Factor Model

Black & Litterman Factor Model

Cardinality Constraints

Cardinality Constraints

Threshold Constraints

Threshold Constraints

Risk Budgeting

Examples concerning the RiskBudgeting optimization.

Risk Parity - Variance

Risk Parity - Variance

Risk Budgeting - CVaR

Risk Budgeting - CVaR

Risk Parity - Covariance shrinkage

Risk Parity - Covariance shrinkage

Maximum Diversification

Examples concerning the MaximumDiversification optimization.

Maximum Diversification

Maximum Diversification

Distributionally Robust CVaR

Examples concerning the DistributionallyRobustCVaR optimization.

Distributionally Robust CVaR

Distributionally Robust CVaR

Hierarchical Clustering and NCO

Examples concerning hierarchical clustering based optimizations.

Hierarchical Risk Parity - CVaR

Hierarchical Risk Parity - CVaR

Hierarchical Equal Risk Contribution - CDaR

Hierarchical Equal Risk Contribution - CDaR

HRP vs HERC

HRP vs HERC

Nested Clusters Optimization

Nested Clusters Optimization

NCO - Combinatorial Purged CV

NCO - Combinatorial Purged CV

Ensemble Optimizations

Examples concerning ensemble optimizations.

Stacking Optimization

Stacking Optimization

Pre-selection

Examples of using pre-selection transformers with Pipelines.

Drop Highly Correlated Assets

Drop Highly Correlated Assets

Select Best Performers

Select Best Performers

Custom Pre-selection Using Volumes

Custom Pre-selection Using Volumes

Handling Incomplete Datasets: Inception, Expiry, and Default

Handling Incomplete Datasets: Inception, Expiry, and Default

Metadata Routing

Examples about metadata routing.

Using Implied Volatility with Metadata Routing

Using Implied Volatility with Metadata Routing

Data Preparation

Examples about data preparation.

Investment Horizon

Investment Horizon