Riskfolio-lib

Latest version: v6.1.1

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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.

0.1.0

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- Repairs some bugs in RiskFunctions.
- Implements the Reports module that helps to build reports on Jupyter Notebook and Excel.
- Implements plot_table, a function that resume some indicators of a portfolio.
- Adds Entropic Value at Risk for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization.

0.0.7

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- Implements normal assumption method to estimate box and elliptical uncertainty sets for Worst Case Optimization.
- Implements elliptical uncertainty sets for covariance matrix.
- Adds Ulcer Index for Mean Risk Portfolio Optimization and Risk Parity Portfolio Optimization.
- Implements functions to calculate Ulcer Index.

0.0.6

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- Repairs some bugs.
- Implements bootstrapping methods to estimate box and elliptical uncertainty sets for Worst Case Optimization.
- Implements Worst Case Mean Variance Portfolio Optimization using box and elliptical uncertainty sets.

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