MarkoWizard

A modern Python library for Markowitz portfolio optimization and analysis.

Previously known as Diversificador. The original portfolio-analysis web app built with Dash is no longer maintained, but it is preserved on the dash-deprecated branch for reference.

Features

• Markowitz Mean-Variance Optimization — Compute the efficient frontier using scipy.optimize
• Capital Allocation Line — Mix risky portfolios with risk-free assets
• Visualization — Plotly-based charts for efficient frontier, allocation pie, CAL, correlation heatmaps, and price timelines
• Data Fetching — Optional convenience functions for downloading market data via yfinance
• Web Application — FastAPI backend with a dark-themed interactive frontend

Installation

pip install markowizard

That's everything the library needs: optimization (scipy), market-data fetching (yfinance), and visualization (plotly). No optional extras.

Quick Start (Library)

from markowizard import MarkowitzOptimizer, CapitalAllocator
from markowizard.data import fetch_prices, compute_monthly_returns
from markowizard.visualization import efficiency_frontier_plot

# Fetch prices and compute monthly returns (decimal form, e.g. 0.01 = 1%)...
prices = fetch_prices(["AAPL", "MSFT", "GOOGL", "SPY"], period="5y")
returns = compute_monthly_returns(prices)
# ...or bring your own returns DataFrame (assets as columns).

# Optimize
optimizer = MarkowitzOptimizer(returns)
portfolios = optimizer.optimize()

# Compute Sharpe ratios (provide monthly risk-free rate)
risk_free_rate = 0.005  # 0.5% per month
portfolios = optimizer.compute_sharpe(risk_free_rate)

# Plot the efficient frontier
fig = efficiency_frontier_plot(portfolios, highlight_portfolio=50)
fig.show()

# Best portfolio (maximum Sharpe ratio)
best = optimizer.max_sharpe_portfolio()
print(best)

# Capital allocation line
allocator = CapitalAllocator(best, risk_free_rate)
cal_points = allocator.capital_allocation_line(steps=21)

Web Application

An interactive web UI (FastAPI + a dark-themed frontend) lives in backend/ and frontend/. It is not part of the PyPI package — run it from the container image or a clone.

Using Docker

docker run -p 8000:8000 ghcr.io/outliersanalytics/markowizard:latest

From a clone

git clone https://github.com/OutliersAnalytics/MarkoWizard
cd MarkoWizard
uv run --with-requirements backend/requirements.txt uvicorn backend.main:app --port 8000

Open http://localhost:8000 — the app auto-submits with default tickers on load.

It exposes a single endpoint, POST /api/analyze:

{
  "tickers": ["AAPL", "MSFT", "GOOGL", "SPY"],
  "period": "5y",
  "risk_free_rate": 0.005
}

which returns the efficient frontier, max-Sharpe portfolio, capital-allocation-line points, and correlation matrix as JSON. The frontend renders the charts.

API Reference

markowizard (top-level)

markowizard.core

MarkowitzOptimizer

class MarkowitzOptimizer:
    def __init__(self, returns: pd.DataFrame) -> None
    def optimize(self) -> pd.DataFrame
    def compute_sharpe(self, risk_free_rate: float) -> pd.DataFrame
    def max_sharpe_portfolio(self) -> pd.Series

Constants: COL_RETURN = "Expected Return", COL_RISK = "Risk", COL_SHARPE = "Sharpe", COL_RISK_FREE = "Risk-Free"

Parameters:

• returns: DataFrame where each column is an asset and each row is a time period. Values must be in decimal form (e.g., 0.01 = 1%).

optimize() computes the efficient frontier by solving 100 quadratic programming problems with varying risk-aversion parameters. Uses warm-starting: each iteration's solution seeds the next.

compute_sharpe(risk_free_rate) adds a Sharpe column. risk_free_rate must match the period of returns (e.g., monthly).

max_sharpe_portfolio() returns the tangency portfolio row.

MarkowitzOptimizer.portfolios DataFrame columns

markowizard.allocation

CapitalAllocator

class CapitalAllocator:
    def __init__(self, portfolio: pd.Series | Mapping, risk_free_rate: float) -> None
    @staticmethod
    def weigh_risk_free(value: float, risk_free_value: float, p: float) -> float
    def capital_allocation_line(self, steps: int = 21) -> list[dict]
    def final_allocation(self, p: float) -> dict[str, float]
    def expected_returns(self, p: float) -> tuple[float, float]

capital_allocation_line() returns points along the CAL, each with keys p, expected_return, risk, and label.

final_allocation(p) returns asset weights including Risk-Free (risk-free portion).

markowizard.visualization

All visualization functions return Plotly Figure objects — call .show() to display.

markowizard.data

Modules

The web application (backend/, frontend/) is kept in the repo but is not part of the installable package — see Web Application.

Development

See CONTRIBUTING.md for setup instructions and contribution guidelines.

License

MIT