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build/lib/pyPortfolioAnalysis/__init__.py

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+"""
+
+pyPortfolioAnalysis: Methods to optimize portfolio
+==================================================
+
+Documentation is available as docstring or as HTML on https://github.com/anuragagrawaal/pyPortfolioAnalysis
+
+Fucntions and Classes 
+
+
+
+Optimization Methods
+====================
+
+ 'HHI'
+ 'VaR'
+ 'VaR_portfolio'
+ 'add_constraint'
+ 'add_objective'
+ 'black_litterman'
+ 'box_constraint'
+ 'cVaR_portfolio'
+ 'constrained_objective'
+ 'diversification'
+ 'diversification_constraint'
+ 'equal_weight'
+ 'extract_groups'
+ 'extract_objective_measure'
+ 'extract_weights'
+ 'factor_exposure_constraint'
+ 'fn_map'
+ 'generate_sequence'
+ 'get_constraints'
+ 'group_constraint'
+ 'group_fail'
+ 'inverse_volatility_weights'
+ 'leverage_exposure_constraint'
+ 'leverage_fail'
+ 'max_sum_fail'
+ 'min_sum_fail'
+ 'minmax_objective'
+ 'normalize_weights'
+ 'optimize_portfolio'
+ 'performance_metrics_objective
+ 'port_mean'
+ 'portfolio_risk_objective'
+ 'portfolio_spec'
+ 'pos_limit_fail'
+ 'position_limit_constraint'
+ 'return_constraint'
+ 'return_objective'
+ 'risk_budget_objective'
+ 'rp_decrease'
+ 'rp_decrease_leverage'
+ 'rp_increase'
+ 'rp_position_limit'
+ 'rp_transform'
+ 'transaction_cost_constraint'
+ 'turnover'
+ 'turnover_constraint'
+ 'turnover_objective'
+ 'var_portfolio'
+ 'weight_concentration_objective'
+ 'weight_sum_constraint'
+
+
+Plots
+=====
+ 'chart_efficient_frontier'
+ 'chart_group_weights'
+ 'chart_weights'
+
+
+
+
+References
+----------
+Brian G. Peterson and Peter Carl (2018). PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios. R package version 1.1.0. https://CRAN.R-project.org/package=PortfolioAnalytics
+  
+Boudt, Kris and Lu, Wanbo and Peeters, Benedict, Higher Order Comoments of Multifactor Models and Asset Allocation (June 16, 2014). Available at SSRN: http://ssrn.com/abstract=2409603 or http://dx.doi.org/10.2139/ssrn.2409603
+
+Chriss, Neil A and Almgren, Robert, Portfolios from Sorts (April 27, 2005). Available at SSRN: http://ssrn.com/abstract=720041 or http://dx.doi.org/10.2139/ssrn.720041
+
+Meucci, Attilio, The Black-Litterman Approach: Original Model and Extensions (August 1, 2008). Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010. Avail- able at SSRN: http://ssrn.com/abstract=1117574 or http://dx.doi.org/10.2139/ssrn.1117574
+
+Meucci, Attilio, Fully Flexible Views: Theory and Practice (August 8, 2008). Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008. Available at SSRN: http://ssrn.com/abstract=1213325
+
+Scherer, Bernd and Martin, Doug, Modern Portfolio Optimization. Springer. 2005.
+
+Shaw, William Thornton, Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching (June 1, 2011). Available at SSRN: http://ssrn.com/abstract=1856476 or http://dx.doi.org/10.2139/ssrn.1856476
+
+"""
+
+
+from .pyPortfolioAnalysis import *
+import numpy as np
+import random
+import pandas as pd
+import matplotlib.pyplot as plt
+import scipy
+import scipy.optimize
+from pyswarms.single.global_best import GlobalBestPSO
+from .__version__ import __version__

build/lib/pyPortfolioAnalysis/__version__.py

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+
+VERSION = (0, 0, 900)
+
+__version__ = '.'.join(map(str, VERSION))