The documentation of the package is given at cvxgrp.org/cvxportfolio/.
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.
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},
}
To install the package:
pip install cvxportfolio
To test it:
pip install nose
nosetests cvxportfolio