CoreFolio

corefolio is a Python package for optimizing asset selection using CVXPY. It allows users to define a universe of assets, apply constraints, and optimize the portfolio based on specified criteria.

Installation

To install the package, use the following command:

pip install corefolio

Requirements

• Python >= 3.10
• pandas
• cvxpy >= 1.6.2
• pytest

Usage

import pandas as pd
from corefolio.optimizer import Optimizer
from corefolio.universe import Universe
from corefolio.constraint import MaxAssetsConstraint, MeanConstraint

# Define your universe and constraints
data = pd.DataFrame(
    {
        "ID": [1, 2, 3, 4], 
        "value": [10, 20, 30, 40], 
        "other_value": [5, 5, 5, 5]
    }
)
universe = Universe(data)
constraints = [
    MaxAssetsConstraint(max_assets=2), 
    MeanConstraint(column_name="other_value", tolerance=0.01)
]

# Create an optimizer instance
optimizer = Optimizer(universe, constraints, sense="maximize", target_column="value")

# Optimize the portfolio
selected_assets = optimizer.optimize()

print("Selected assets:", selected_assets)

License

This project is licensed under the MIT License.