QuantToolBox
A Python port of Thierry Roncalli's MATLAB QuantToolBox and the Handbook of Sustainable Finance toolbox: econometrics, portfolio optimization, and risk analytics.
pip install quanttoolbox
Example
import numpy as np
from quanttoolbox.portfolio.risk_budgeting import erc_portfolio
cov_matrix = np.array([
[0.09, 0.024, 0.018],
[0.024, 0.04, 0.012],
[0.018, 0.012, 0.0225],
])
result = erc_portfolio(cov_matrix)
print(result.weights) # equal-risk-contribution weights
print(result.pct_risk_contribution) # ~equal, by construction
Docs
- Examples — worked examples with real numeric output, ordered from simplest to most involved.
- API reference — generated from the docstrings.
- Notes for translators — file-by-file mapping back to the original MATLAB source, and what's left to port.
License
MIT.
1 maintainer
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