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
Minimum CVaR
Efficient Frontier
Mean-Variance-CDaR Surface
Weight Constraints
Transaction Costs
Management Fees
L1 and L2 Regularization
Uncertainty Set
Tracking Error
Empirical Prior
Black & Litterman
Factor Model
Black & Litterman Factor Model
Black & Litterman Factor Model
Risk Budgeting#
Examples concerning the RiskBudgeting
optimization.
Risk Parity - Variance
Risk Budgeting - CVaR
Risk Parity - Covariance shrinkage
Risk Parity - Covariance shrinkage
Maximum Diversification#
Examples concerning the MaximumDiversification
optimization.
Maximum Diversification
Distributionally Robust CVaR#
Examples concerning the DistributionallyRobustCVaR
optimization.
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
Nested Clusters Optimization
NCO - Combinatorial Purged CV
Ensemble Optimizations#
Examples concerning ensemble optimizations.
Stacking Optimization
Pre-selection#
Examples of using pre-selection transformers with Pipelines
.
Drop Highly Correlated Assets
Select Best Performers
Data Preparation#
Examples about data preparation.
Investment Horizon