Portfolio optimisation with fama french factor exposure and tracking error constraint

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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Closed Lucifer1887 closed 1 year ago

Lucifer1887 commented 2 years ago

How do I implement this using Pyportfolioopt

robertmartin8 commented 1 year ago

It's possible to do this by defining custom objective functions etc, but you may be better off just coding it up directly in cvxpy.