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# Mean-Risk

Examples using the [`MeanRisk`](https://skfolio.org/generated/skfolio.optimization.MeanRisk.html.md#skfolio.optimization.MeanRisk) optimization.

<div id='sg-tag-list' class='sphx-glr-tag-list'></div><div class="sphx-glr-thumbnails">
<div class="sphx-glr-thumbcontainer" tooltip="This tutorial uses the MeanRisk optimization to find the maximum Sharpe Ratio portfolio.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_1_maximum_sharpe_ratio_thumb.png)

[Maximum Sharpe Ratio](https://skfolio.org/auto_examples/mean_risk/plot_1_maximum_sharpe_ratio.html.md)

  <div class="sphx-glr-thumbnail-title">Maximum Sharpe Ratio</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial uses the MeanRisk optimization to find the minimum CVaR (Conditional Value at Risk) portfolio.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_2_minimum_CVaR_thumb.png)

[Minimum CVaR](https://skfolio.org/auto_examples/mean_risk/plot_2_minimum_CVaR.html.md)

  <div class="sphx-glr-thumbnail-title">Minimum CVaR</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial uses the MeanRisk optimization to find an ensemble of portfolios belonging to the Mean-Variance efficient frontier (Pareto front).">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_3_efficient_frontier_thumb.png)

[Efficient Frontier](https://skfolio.org/auto_examples/mean_risk/plot_3_efficient_frontier.html.md)

  <div class="sphx-glr-thumbnail-title">Efficient Frontier</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial uses the MeanRisk optimization to find an ensemble of portfolios belonging to the Mean-Variance-CDaR efficient frontier.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_4_mean_variance_cdar_thumb.png)

[Mean-Variance-CDaR Surface](https://skfolio.org/auto_examples/mean_risk/plot_4_mean_variance_cdar.html.md)

  <div class="sphx-glr-thumbnail-title">Mean-Variance-CDaR Surface</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate weight constraints into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_5_weight_constraints_thumb.png)

[Weight Constraints](https://skfolio.org/auto_examples/mean_risk/plot_5_weight_constraints.html.md)

  <div class="sphx-glr-thumbnail-title">Weight Constraints</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate transaction costs (TC) into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_6_transaction_costs_thumb.png)

[Transaction Costs](https://skfolio.org/auto_examples/mean_risk/plot_6_transaction_costs.html.md)

  <div class="sphx-glr-thumbnail-title">Transaction Costs</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate management fees (MF) into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_7_management_fees_thumb.png)

[Management Fees](https://skfolio.org/auto_examples/mean_risk/plot_7_management_fees.html.md)

  <div class="sphx-glr-thumbnail-title">Management Fees</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate regularization into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_8_regularization_thumb.png)

[L1 and L2 Regularization](https://skfolio.org/auto_examples/mean_risk/plot_8_regularization.html.md)

  <div class="sphx-glr-thumbnail-title">L1 and L2 Regularization</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate expected returns uncertainty sets into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_9_uncertainty_set_thumb.png)

[Uncertainty Set](https://skfolio.org/auto_examples/mean_risk/plot_9_uncertainty_set.html.md)

  <div class="sphx-glr-thumbnail-title">Uncertainty Set</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to incorporate a tracking error constraint into the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_10_tracking_error_thumb.png)

[Tracking Error](https://skfolio.org/auto_examples/mean_risk/plot_10_tracking_error.html.md)

  <div class="sphx-glr-thumbnail-title">Tracking Error</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to use the EmpiricalPrior estimator in the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_11_empirical_prior_thumb.png)

[Empirical Prior](https://skfolio.org/auto_examples/mean_risk/plot_11_empirical_prior.html.md)

  <div class="sphx-glr-thumbnail-title">Empirical Prior</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to use the BlackLitterman estimator in the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_12_black_and_litterman_thumb.png)

[Black & Litterman](https://skfolio.org/auto_examples/mean_risk/plot_12_black_and_litterman.html.md)

  <div class="sphx-glr-thumbnail-title">Black & Litterman</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="skfolio supports time-series factor models through TimeSeriesFactorModel and characteristics-based cross-sectional factor models through CharacteristicsFactorModel.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_13_factor_model_thumb.png)

[Time-Series Factor Model](https://skfolio.org/auto_examples/mean_risk/plot_13_factor_model.html.md)

  <div class="sphx-glr-thumbnail-title">Time-Series Factor Model</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to use the TimeSeriesFactorModel estimator coupled with the BlackLitterman estimator in the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_14_black_litterman_factor_model_thumb.png)

[Black & Litterman Factor Model](https://skfolio.org/auto_examples/mean_risk/plot_14_black_litterman_factor_model.html.md)

  <div class="sphx-glr-thumbnail-title">Black & Litterman Factor Model</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to use cardinality constraints with the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_15_mip_cardinality_constraints_thumb.png)

[Cardinality Constraints](https://skfolio.org/auto_examples/mean_risk/plot_15_mip_cardinality_constraints.html.md)

  <div class="sphx-glr-thumbnail-title">Cardinality Constraints</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial shows how to use threshold constraints with the MeanRisk optimization.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_16_mip_threshold_constraints_thumb.png)

[Threshold Constraints](https://skfolio.org/auto_examples/mean_risk/plot_16_mip_threshold_constraints.html.md)

  <div class="sphx-glr-thumbnail-title">Threshold Constraints</div>
</div><div class="sphx-glr-thumbcontainer" tooltip="This tutorial introduces the optimization parameters fallback and raise_on_failure.">![](auto_examples/mean_risk/images/thumb/sphx_glr_plot_17_failure_and_fallbacks_thumb.png)

[Failure and Fallbacks](https://skfolio.org/auto_examples/mean_risk/plot_17_failure_and_fallbacks.html.md)

  <div class="sphx-glr-thumbnail-title">Failure and Fallbacks</div>
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