pyrb
riskparity.py
| pyrb | riskparity.py | |
|---|---|---|
| 3 | 2 | |
| 111 | 276 | |
| - | 1.4% | |
| 0.0 | 5.5 | |
| 10 months ago | 2 months ago | |
| Python | Python | |
| MIT License | MIT License |
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pyrb
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On the relationship between QQQ and TQQQ returns
There's also risk budgeting you can try: https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb
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TMF down -18% in 52 weeks - have people been plowing money into it?
In another (https://github.com/jcrichard/pyrb/blob/master/notebooks/RiskBudgeting.ipynb), he's calculating the covariance matrix from the input as follows:
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My Guide to Hedgefundie's Portfolio and Why I'm 100% Invested in it for FATFire and WHALEFire
The technical explanation is in this academic paper and one of the authors released a python library implementing it. I use this to create some scripting for my own portfolio needs that tells me what portfolio weights to use when I want to rebalance or add new funds.
riskparity.py
What are some alternatives?
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okama - Investment portfolio and stocks analyzing tools for Python with free historical data
vectorbt - Find your trading edge, using the fastest engine for backtesting, algorithmic trading, and research.
zipline - Zipline, a Pythonic Algorithmic Trading Library
Empyrial - AI and data-driven quantitative portfolio management library for portfolio risk and performance analysis 投资组合管理
portfolio_allocation_js - A JavaScript library to allocate and optimize financial portfolios.