kelley-portfolio-optimization 0.0.2

Portfolio Optimization

Kelley Optimization

Installation

Run the following to install:

pip install kelley_portfolio_optimization

Usage

import numpy as np
returns = np.array([0.0476, 0.004]) # mu
varcov = np.matrix([[2.12, 1.03], # sigma_ij
                [1.03, 1.89]])

Development

To install kelley_portfolio_optimization, along with the tools you need to develop and run tests, run the following in your virtualenv:

$ pip install -e .[dev]