Portfolio Optimization
Project description
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]
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