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Very awesome work guys. A lot cool things could be done wrt to portfolio optimization. Not sure if you have this already, but being able to specify optimizers (
by smabie 6y ago
Very awesome work guys. A lot cool things could be done wrt to portfolio optimization. Not sure if you have this already, but being able to specify optimizers (BL model, min variance, EF, risk parity, etc) would be super cool. Like support stuff from https://pyportfolioopt.readthedocs.io/en/latest/ https://pyportfolioopt.readthedocs.io/en/latest/
Also classic academic portfolios would be interesting as well, like a betting against beta or a multi factor portfolio.
So much you could do with it really. I've always been of the opinion that finance has failed retail investors, both mutual fund (closet indexers) and the backlash which has resulted with many people only holding a market portfolio, or maybe a (terrible imo) 60/40 portfolio.
- aliquotchris 6y agoAgreed! We haven't brought optimization in-product yet because we want to get it right, but we've been having fun doing things like this more informally. E.g. https://enombic.com/mandelbrot/wsb-MPT https://enombic.com/mandelbrot/wsb-MPT uses the markowitz model to calculate its weights. One of our main goals with enombic is to empower retail investors with more advanced tooling, glad to hear you're sympathetic to this. Would love to chat more about it if you want, hello [at] enombic [dot] com.
- yowlingcat 6y agoHow do you like `pyportfolioopt` compared to other libraries? Seems a lot more batteries-included in a good way compared to most other stuff I've seen.