An (outdated) documentation of the package is given at cvxportfolio.org.
cvxportfolio is a python library for portfolio optimization and simulation,
based on the paper Multi-Period Trading via Convex Optimization.
It is written in Python, its major dependencies are cvxpy
and pandas.
See the examples for basic usage.
If you wish to cite CVXPortfolio, please use:
@article{BBDKKNS:17,
author = {S. Boyd and E. Busseti and S. Diamond and R. Kahn and K. Koh and P. Nystrup and J. Speth},
title = {Multi-Period Trading via Convex Optimization},
journal = {Foundations and Trends in Optimization},
year = {2017},
month = {August},
volume = {3},
number = {1},
pages = {1--76},
publisher = {Now Publishers},
url = {http://stanford.edu/~boyd/papers/cvx_portfolio.html},
}
We provide conda (recommended) and pip packages. From scratch, do:
- Install Anaconda
- Install
pandas
conda install pandas
- Install
cvxpy(if it doesn't work, follow instructions here)
conda install -c conda-forge lapack
conda install -c cvxgrp cvxpy
- Install
cvxportfolio
conda install -c cvxgrp cvxportfolio
- Test the installation with
nose
conda install nose
nosetests cvxportfolio