Financial applications focusing on portfolio management for Python
Project description
PyFinanceLab
PyFinanceLab is in alpha development. Please open an issue if you find any bugs.
Features
PyFinanceLab is a library of financial applications focusing on portfolio management for Python.
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Data Api Wrapper
The data api wrapper makes it easy to switch between yfinance (free) and tia (Bloomberg terminal subscription required) libraries for pulling financial data.
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Covariance Matrix Tester
The covariance matrix tester tests various risk models from Hudson and Thames's PortfolioLab Python library (requires subscription) for computing covariance matrices out-of-sample on daily price data. Each risk model is ranked according to how close the covariance matrix generated with that risk model is to out-of-sample empirical covariance matrix.
Roadmap
Future development will include:
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Classification Schema
Classify an investment universe of tickers into specified categories such as sector, size, or value.
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Constraints Modeling
Automatically generate weight constraints for a universe of tickers.
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Risk Modeling
Sample, test, and select the best risk model for generating covariance matrices for input into portfolio optimizers such as mean-variance optimization (MVO). Examples include empirical covariance, ledoit-wolf shrinkage, minimum covariance determinant, and more.
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Return Modeling
Sample, test, and select the best return model for generating return vectors for input into portfolio optimizers such as mean-variance optimization (MVO). Examples include mean historical return, exponentially-weighted return, and the Capital Asset Pricing Model (CAPM).
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Portfolio Optimization
Utilize the classification schema, constraints modeling, risk modeling, and return modeling to optimize a portfolio of assets.
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Portfolio Backtesting
Backtest portfolios and generate performance graphical plots and statistics.
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Report Generation
Report results in a nicely formatted and easily readable Excel file.
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Documentation
Documentation will be published as this Python library is further developed. "# pyfinlab"
Project details
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