Investment and risk technologies maintained by Fortitudo Technologies.
Project description
Fortitudo Technologies Open Source
This package allows you to freely explore open-source implementations of some of our fundamental technologies, e.g., Entropy Pooling and CVaR optimization in Python.
The package is intended for advanced users who are comfortable specifying portfolio constraints and Entropy Pooling views using matrices and vectors. This gives full flexibility in relation to working with these technologies and allows you to build your own high-level interfaces if you wish. Hence, input checking is intentionally kept to a minimum.
Fortitudo Technologies is a fintech company that offers novel investment technologies as well as quantitative and digitalization consultancy to the investment management industry. For more information, please visit our website.
Installation Instructions
Installation can be done via pip:
pip install fortitudo.tech
For best performance, we recommend that you install the package in a conda environment and let conda handle the installation of dependencies before installing the package using pip. You can do this by following these steps:
conda create -n fortitudo.tech python scipy pandas -y conda activate fortitudo.tech conda install -c conda-forge cvxopt=1.3 -y pip install fortitudo.tech
The examples might require you to install additional packages, e.g., seaborn and ipykernel / notebook / jupyterlab if you want to run the notebooks. Using pip to install these packages should not cause any dependency issues.
Disclaimer
This package is completely separate from our proprietary solutions and therefore not representative of neither the quality nor the functionality offered by the Simulation Engine and Investment Analysis modules. If you are an institutional investor and want to experience how some of these methods can be used in practice for sophisticated investment analysis, please request a demo by sending an email to demo@fortitudo.tech.
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