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robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
https://pyportfolioopt.readthedocs.io/
MIT License
4.38k stars 940 forks source link

Feature request: incorporate Wilcox's higher moment algorithm #158

Open jarrodwilcox opened 4 years ago

jarrodwilcox commented 4 years ago

See github jarrodwilcox/wealthmate_lab for the jupyter notebook higher moments to get started. For background, see the current online issue of the Journal of Asset Management for the article Better Portfolios with Higher Moments..

Jarrod Wilcox

robertmartin8 commented 4 years ago

Hi Jarrod,

Thanks for the suggestion! Hopefully will find some time towards the end of summer to investigate further. I like that you have a cvxpy implementation in addition to scipy.optimize.

Cheers, Robert

jarrodwilcox commented 4 years ago

My pleasure.  Feel free to contact if you do.  I admire your entrepreneurial achievement.

Best

Jarrod On Jul 25, 2020, 1:54 AM -0400, Robert Martin notifications@github.com, wrote:

Hi Jarrod, Thanks for the suggestion! Hopefully will find some time towards the end of summer to investigate further. I like that you have a cvxpy implementation in addition to scipy.optimize. Cheers, Robert — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or unsubscribe.

BradKML commented 1 year ago

BTW what is with Kurtosis and Skewness Anyways? Ans why are people not recommending high column count for it? https://github.com/robertmartin8/PyPortfolioOpt/issues/205 https://gist.github.com/Financioneroncios/a59aca9b97b4969ab853cfb322bdce8c