Linear algebra utilities for portfolio optimization
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cvx-linalg
Linear algebra utilities for portfolio optimization, part of the jebel-quant ecosystem.
Installation
pip install cvx-linalg
Usage
from cvx.linalg import cholesky, pca, rand_cov, valid
Functions
cholesky(cov)— Upper triangular Cholesky factor R such that R.T @ R = covpca(returns, n_components)— Principal Component Analysis via SVDrand_cov(n, seed)— Random positive semi-definite covariance matrixvalid(matrix)— Extract valid submatrix by removing rows/columns with non-finite diagonal entries
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