Feature request: Interest in other methods of calculating CVaR

robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

https://pyportfolioopt.readthedocs.io/

MIT License

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Feature request: Interest in other methods of calculating CVaR #355

Closed ibaris closed 3 years ago

ibaris commented 3 years ago

Is there interest on your side that other methods can be used to calculate CVaR? I could implement different methods such as the Monte Carlo, Stressed Monte Carlo, Historical and GARCH methods and also backtest these.

robertmartin8 commented 3 years ago

Hi @ibaris,

Thanks for raising this! I don't think the package needs additional implementations of CVaR (or any other portfolio metrics for that matter) unless these can be optimised.

My view is that PyPortfolioOpt should focus on its core competency – portfolio optimisation. There exist packages dedicated to portfolio analysis, such as pyfolio-reloaded

Cheers, Robert