- Implements Hierarchical Risk Parity (HRP) and Hierarchical Equal Risk Parity (HERC). - Implements the function plot_clusters() and plot_dendrogram() that help us to identify clusters based on a distance correlation metric. - Implements the function assets_clusters() that help us to create asset classes based on hierarchical clusters. - Adds an example that shows how to build Hierarchical Risk Parity portfolios. - Adds an example that shows how to build Hierarchical Equal Risk Parity portfolios.
0.2.0
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- Implements Logarithmic Mean Risk (Kelly Criterion) Portfolio Optimization models. - Implements the function plot_bar() that help us to plot portfolios with negative weights. - Adds the option to build dollar neutral portfolios. - Adds an example that shows how to build Logarithmic Mean Risk (Kelly Criterion) portfolios. - Adds an example that shows how to build dollar neutral portfolios.
0.1.5
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- Adds the option to add a constraint on minimum portfolio return. - Adds an example of how to add constraints on portfolio return and risk measures.
0.1.4
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- Adds Black Litterman with factors in two flavors: Black Litterman Bayesian model and Augmented Black Litterman model. - Implements factors_views, a function that allows to design views on risk factors for Black Litterman with factors. - Repairs some bugs.
0.1.2
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- Adds Entropic Drawdown at Risk for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization. - Repairs some bugs.
0.1.1
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- Repairs some bugs in Portfolio related to Semi Variance and UCI. - Implements an option to annualize returns and risk in plot_frontier, Jupyter Notebook and Excel reports. - Adds examples using Vectorbt for Backtesting and MOSEK for large scale problems.