Metadata-Version: 2.1
Name: azapy
Version: 0.0.6
Summary: Financial Portfolio Optimization Algorithms
Home-page: https://github.com/Mircea-MMXXI/azapy.git
Author: Mircea Marinescu
Author-email: mircea.marinescu@outlook.com
License: UNKNOWN
Project-URL: Documentation, https://azapy.readthedocs.io/en/latest
Project-URL: Source, https://github.com/Mircea-MMXXI/azapy
Project-URL: Bug Tracker, https://github.com/Mircea-MMXXI/azapy/issues
Platform: UNKNOWN
Classifier: Programming Language :: Python :: 3
Classifier: License :: OSI Approved :: GNU General Public License v3 (GPLv3)
Classifier: Operating System :: OS Independent
Requires-Python: >=3.8
Description-Content-Type: text/markdown
License-File: LICENSE

# azapy
## Financial Portfolio Optimization Algorithms

![TimeSeries](graphics/Portfolio_1.png)

Author: Mircea Marinescu

email: Mircea.Marinescu@outlook.com

[Package docs](https://azapy.readthedocs.io/en/latest)

[Source code](https://github.com/Mircea-MMXXI/azapy)


### Contents
A. Risk based portfolio optimization algorithms:
  1. Mixture CVaR (Conditional Value at Risk)
  2. Mixture SMCR (Second Moment Coherent Risk)
  3. MV (Mean Variance)
  4. SD (Standard Deviation)
  5. Mixture MAD (Mean Absolute Deviation)
  6. Mixture LSSD (Lower Semi-Standard Deviation)
  7. GINI (as in Corrado Gini - statistician 1884-1965)
  8. MSGINI (Second Moment Gini dispersion measure)
  9. Omega ratio (introduced by Con Keating and William F. Shadwick - 2002)

For each class of portfolios the following optimization strategies are
available:
  1. minimization of dispersion for a give expected rate of return
  2. maximization of generalized Sharpe ratio
  3. minimization of the inverse of generalized Sharpe ratio
  4. minimum dispersion portfolio
  5. Inverse-N risk optimal portfolio (optimal portfolio with the same
     dispersion measure as equal weighted portfolio)
  6. maximization of expected rate of returns for a fixed value of
     risk aversion

B. "Naïve" portfolio strategies:
  1. Constant weighted portfolio. A particular case is equal
     weighted portfolio.
  2. Inverse volatility portfolio (*i.e.* portfolio weights are proportional to
     the inverse of asset volatilities)
  3. Inverse variance portfolio (*i.e.* portfolio weights are proportional to
     the inverse of asset variances)
  4. Inverse drawdown portfolio (*i.e.* portfolio weights are proportional to
     the asset absolute value of maximum drawdowns over a predefined
     historical period)

C. Greedy portfolio optimization strategies:
  1. Kelly's portfolio (as in John Larry Kelly Jr. - scientist 1923-1965) -
     maximization of portfolio log returns

Utility functions:
  1. Collect historical market data from a data provider (at this point only
     from *alphavantage*)
  2. Generate business calendars (at this point only NYSE business calendar)
  3. Generate rebalancing portfolio schedules


