Portfolio Optimization & Risk Parity Engine
Project description
Alpha-Engine 📊
Modern Portfolio Theory & Risk Parity Suite
alpha-engine is a quantitative library for multi-asset portfolio construction. It bridges the gap between raw signals and trade execution by optimizing capital allocation.
Core Features
- Mean-Variance Optimization: Uses SLSQP solvers to find the Tangency Portfolio (Max Sharpe).
- Risk Parity: Implements risk-budgeting techniques to equalize risk contributions across assets.
- Performance Attribution: Built-in metrics for Sharpe, Volatility, and Max Drawdown.
Example
from alpha_engine.nucleus.optimizer import PortfolioOptimizer
opt = PortfolioOptimizer(returns_data)
weights = opt.optimize_max_sharpe()
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