Feature request: implementation of the paper quantized portfolio theory, Kelly optimal portfolio

robertmartin8 / PyPortfolioOpt

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

https://pyportfolioopt.readthedocs.io/

MIT License

4.55k stars 959 forks source link

Feature request: implementation of the paper quantized portfolio theory, Kelly optimal portfolio #521

Open KIC opened 1 year ago

KIC commented 1 year ago

this library is a nice compendium of various optimal portfolio allocations. I think it would enrich this library even further by implementing a Kelly optimal portfolio following this paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3853181.

88d52bdba0366127fffca9dfa93895 commented 1 year ago

Thanks for the suggestion. Surely I will check that paper and consider your suggestion. In my opinion, the Kelly criterion is worth trying.