A Python Package for Portfolio Optimization using the Critical Line Algorithm

Related tags

AlgorithmsPyCLA
Overview

PyCLA

A Python Package for Portfolio Optimization using the Critical Line Algorithm

Getting started

To use PyCLA, clone the repo and install the required dependencies.

git clone https://github.com/phschiele/PyCLA

Dependency installation using poetry:

poetry install

Dependency installation using pip:

pip install -r requirements.txt

Using PyCLA - An Example

import numpy as np

from pycla import PyCLA

n_sec = 10

# Expected returns and covariance matrix
np.random.seed(1)
mu = np.random.random(n_sec)
random_mat = np.random.rand(n_sec, n_sec)
C = np.dot(random_mat, random_mat.transpose())

# Lower and upper bounds
lb = np.ones(n_sec) * 0.05
ub = np.ones(n_sec) * 0.7

# Equality constraints
A = np.ones((1, n_sec))
b = np.array([1])

# Inequality constraints
first_n = 5  # combined weight of first five assets <= 50%
A_in = np.array([[1]*first_n + [0]*(n_sec-first_n)])
b_in = np.array([0.5])

# Create the PyCLA object and trace the frontier
pycla = PyCLA(mu, C, A, b, A_in, b_in, lb, ub)
pycla.trace_frontier()
Owner
Scalable Capital | Ludwig Maximilian University of Munich
There are some basic arithmatic in Pattern Recognization and Machine Learning writed in Python in this repository

There are some basic arithmatic in Pattern Recognization and Machine Learning writed in Python in this repository

1 Nov 19, 2021
Implementation of an ordered dithering algorithm used in computer graphics

Ordered Dithering Project In this project, we use an ordered dithering method to turn an RGB image, first to a gray scale image and then, turn the gra

1 Oct 26, 2021
PICO is an algorithm for exploiting Reinforcement Learning (RL) on Multi-agent Path Finding tasks.

PICO is an algorithm for exploiting Reinforcement Learning (RL) on Multi-agent Path Finding tasks. It is developed by the Multi-Agent Artificial Intel

21 Dec 20, 2022
A simple python implementation of A* and bfs algorithm solving Eight-Puzzle

A simple python implementation of A* and bfs algorithm solving Eight-Puzzle

2 May 22, 2022
Supplementary Data for Evolving Reinforcement Learning Algorithms

evolvingrl Supplementary Data for Evolving Reinforcement Learning Algorithms This dataset contains 1000 loss graphs from two experiments: 500 unique g

John Co-Reyes 42 Sep 21, 2022
Pathfinding visualizer in pygame: A*

Pathfinding Visualizer A* What is this A* algorithm ? Simply put, it is an algorithm that aims to find the shortest possible path between two location

0 Feb 26, 2022
Python based framework providing a simple and intuitive framework for algorithmic trading

Harvest is a Python based framework providing a simple and intuitive framework for algorithmic trading. Visit Harvest's website for details, tutorials

100 Jan 03, 2023
Exam Schedule Generator using Genetic Algorithm

Exam Schedule Generator using Genetic Algorithm Requirements Use any kind of crossover Choose any justifiable rate of mutation Use roulette wheel sele

Sana Khan 1 Jan 12, 2022
Using A * search algorithm and GBFS search algorithm to solve the Romanian problem

Romanian-problem-using-Astar-and-GBFS Using A * search algorithm and GBFS search algorithm to solve the Romanian problem Romanian problem: The agent i

Mahdi Hassanzadeh 6 Nov 22, 2022
This project consists of a collaborative filtering algorithm to predict movie reviews ratings from a dataset of Netflix ratings.

Collaborative Filtering - Netflix movie reviews Description This project consists of a collaborative filtering algorithm to predict movie reviews rati

Shashank Kumar 1 Dec 21, 2021
Rover. Finding the shortest pass by Dijkstra’s shortest path algorithm

rover Rover. Finding the shortest path by Dijkstra’s shortest path algorithm Задача Вы — инженер, проектирующий роверы-беспилотники. Вам надо спроекти

1 Nov 11, 2021
Python algorithm to determine the optimal elevation threshold of a GNSS receiver, by using a statistical test known as the Brown-Forsynthe test.

Levene and Brown-Forsynthe: Test for variances Application to Global Navigation Satellite Systems (GNSS) Python algorithm to determine the optimal ele

Nicolas Gachancipa 2 Aug 09, 2022
All algorithms implemented in Python for education

The Algorithms - Python All algorithms implemented in Python - for education Implementations are for learning purposes only. As they may be less effic

1 Oct 20, 2021
This is a Python implementation of the HMRF algorithm on networks with categorial variables.

Salad Salad is an Open Source Python library to segment tissues into different biologically relevant regions based on Hidden Markov Random Fields. The

1 Nov 16, 2021
Algorithms and data structures for educational, demonstrational and experimental purposes.

Algorithms and Data Structures (ands) Introduction This project was created for personal use mostly while studying for an exam (starting in the month

50 Dec 06, 2022
RRT algorithm and its optimization

RRT-Algorithm-Visualisation This is a project that aims to develop upon the RRT

Sarannya Bhattacharya 7 Mar 06, 2022
Python Client for Algorithmia Algorithms and Data API

Algorithmia Common Library (python) Python client library for accessing the Algorithmia API For API documentation, see the PythonDocs Algorithm Develo

Algorithmia 138 Oct 26, 2022
PickMush - A mini study/project on boosting algorithm

PickMush A mini project implementing Boosting Author Shashwat Vaibhav What does it do? Classifies whether Mushroom is edible or is non-edible (binary

Shashwat Vaibahav 3 Nov 08, 2022
This is an Airport Scheduling Time table implemented using Genetic Algorithm

This is an Airport Scheduling Time table implemented using Genetic Algorithm In this The scheduling is performed on the basisi of that no two Air planes are arriving or departing at the same runway a

1 Jan 06, 2022
Dynamic Programming-Join Optimization Algorithm

DP-JOA Join optimization is the process of optimizing the joining, or combining, of two or more tables in a database. Here is a simple join optimizati

Haoze Zhou 3 Feb 03, 2022