riskoptima 1.10.0__tar.gz

riskoptima-1.10.0/LICENSE

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+MIT License
+
+Copyright (c) 2025 Jordi Corbilla
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

riskoptima-1.10.0/PKG-INFO

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+Metadata-Version: 2.1
+Name: riskoptima
+Version: 1.10.0
+Summary: The RiskOptima toolkit is a comprehensive Python solution designed to assist investors in evaluating, managing, and optimizing the risk of their investment portfolios. This package implements advanced financial metrics and models to compute key risk indicators, including Value at Risk (VaR), Conditional Value at Risk (CVaR), and volatility assessment
+Home-page: https://github.com/JordiCorbilla/RiskOptima
+License: MIT
+Keywords: portfolio,risk,optimization,VaR,backtesting,monte-carlo,machine-learning,random-forest,linear-regression,gradient-boosting,mean-variance,black-litterman
+Author: Jordi Corbilla
+Author-email: jordi.coll.corbilla@gmail.com
+Requires-Python: >=3.12
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Requires-Dist: matplotlib (>=3.8.4)
+Requires-Dist: numpy (>=1.26.4)
+Requires-Dist: pandas (>=2.1.4)
+Requires-Dist: scikit-learn (>=1.5.1)
+Requires-Dist: scipy (>=1.13.1)
+Requires-Dist: seaborn (>=0.13.2)
+Requires-Dist: statsmodels (>=0.14.2)
+Requires-Dist: xgboost (>=2.1.3)
+Requires-Dist: yfinance (>=0.2.51)
+Project-URL: Repository, https://github.com/JordiCorbilla/RiskOptima
+Description-Content-Type: text/markdown
+
+# RiskOptima
+
+![image](https://github.com/user-attachments/assets/b9bc3bd0-d8fa-4f01-97e6-44bf4b886bcb)
+
+
+RiskOptima is a comprehensive Python toolkit for evaluating, managing, and optimizing investment portfolios. This package is designed to empower investors and data scientists by combining financial risk analysis, backtesting, mean-variance optimization, and machine learning capabilities into a single, cohesive package.
+
+## Stats
+https://pypistats.org/packages/riskoptima
+
+## Key Features
+
+- Portfolio Optimization: Includes mean-variance optimization, efficient frontier calculation, and maximum Sharpe ratio portfolio construction.
+- Risk Management: Compute key financial risk metrics such as Value at Risk (VaR), Conditional Value at Risk (CVaR), volatility, and drawdowns.
+- Backtesting Framework: Simulate historical performance of investment strategies and analyze portfolio dynamics over time.
+- Machine Learning Integration: Future-ready for implementing machine learning models for predictive analytics and advanced portfolio insights.
+- Monte Carlo Simulations: Perform extensive simulations to analyze potential portfolio outcomes. See example here https://github.com/JordiCorbilla/efficient-frontier-monte-carlo-portfolio-optimization
+- Comprehensive Financial Metrics: Calculate returns, Sharpe ratios, covariance matrices, and more.
+
+## Installation
+
+See the project here: https://pypi.org/project/riskoptima/
+
+```
+pip install riskoptima
+```
+## Usage
+
+Example 1: Efficient Frontier
+```python
+from riskoptima import RiskOptima
+import pandas as pd
+
+# Download market data
+data = RiskOptima.download_data_yfinance(['AAPL', 'MSFT', 'GOOG'], '2022-01-01', '2022-12-31')
+daily_returns, cov_matrix = RiskOptima.calculate_statistics(data)
+
+# Calculate Efficient Frontier
+mean_returns = daily_returns.mean()
+vols, rets, weights = RiskOptima.efficient_frontier(mean_returns, cov_matrix)
+
+# Plot Efficient Frontier
+RiskOptima.plot_ef_ax(50, mean_returns, cov_matrix)
+```
+Example 2: Monte Carlo Simulation
+```python
+simulated_portfolios, weights_record = RiskOptima.run_monte_carlo_simulation(daily_returns, cov_matrix)
+```
+
+Example 3: Macaulay Duration
+```
+Navigate to -> https://github.com/JordiCorbilla/portfolio_risk_kit/blob/main/portfolio_risk_kit.ipynb
+```
+
+## Documentation
+
+For complete documentation and usage examples, visit the GitHub repository:
+
+[RiskOptima GitHub](https://github.com/JordiCorbilla/RiskOptima)
+
+## Contributing
+
+We welcome contributions! If you'd like to improve the package or report issues, please visit the GitHub repository.
+
+## License
+
+RiskOptima is licensed under the MIT License.
+
+

riskoptima-1.10.0/README.md

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+# RiskOptima
+
+![image](https://github.com/user-attachments/assets/b9bc3bd0-d8fa-4f01-97e6-44bf4b886bcb)
+
+
+RiskOptima is a comprehensive Python toolkit for evaluating, managing, and optimizing investment portfolios. This package is designed to empower investors and data scientists by combining financial risk analysis, backtesting, mean-variance optimization, and machine learning capabilities into a single, cohesive package.
+
+## Stats
+https://pypistats.org/packages/riskoptima
+
+## Key Features
+
+- Portfolio Optimization: Includes mean-variance optimization, efficient frontier calculation, and maximum Sharpe ratio portfolio construction.
+- Risk Management: Compute key financial risk metrics such as Value at Risk (VaR), Conditional Value at Risk (CVaR), volatility, and drawdowns.
+- Backtesting Framework: Simulate historical performance of investment strategies and analyze portfolio dynamics over time.
+- Machine Learning Integration: Future-ready for implementing machine learning models for predictive analytics and advanced portfolio insights.
+- Monte Carlo Simulations: Perform extensive simulations to analyze potential portfolio outcomes. See example here https://github.com/JordiCorbilla/efficient-frontier-monte-carlo-portfolio-optimization
+- Comprehensive Financial Metrics: Calculate returns, Sharpe ratios, covariance matrices, and more.
+
+## Installation
+
+See the project here: https://pypi.org/project/riskoptima/
+
+```
+pip install riskoptima
+```
+## Usage
+
+Example 1: Efficient Frontier
+```python
+from riskoptima import RiskOptima
+import pandas as pd
+
+# Download market data
+data = RiskOptima.download_data_yfinance(['AAPL', 'MSFT', 'GOOG'], '2022-01-01', '2022-12-31')
+daily_returns, cov_matrix = RiskOptima.calculate_statistics(data)
+
+# Calculate Efficient Frontier
+mean_returns = daily_returns.mean()
+vols, rets, weights = RiskOptima.efficient_frontier(mean_returns, cov_matrix)
+
+# Plot Efficient Frontier
+RiskOptima.plot_ef_ax(50, mean_returns, cov_matrix)
+```
+Example 2: Monte Carlo Simulation
+```python
+simulated_portfolios, weights_record = RiskOptima.run_monte_carlo_simulation(daily_returns, cov_matrix)
+```
+
+Example 3: Macaulay Duration
+```
+Navigate to -> https://github.com/JordiCorbilla/portfolio_risk_kit/blob/main/portfolio_risk_kit.ipynb
+```
+
+## Documentation
+
+For complete documentation and usage examples, visit the GitHub repository:
+
+[RiskOptima GitHub](https://github.com/JordiCorbilla/RiskOptima)
+
+## Contributing
+
+We welcome contributions! If you'd like to improve the package or report issues, please visit the GitHub repository.
+
+## License
+
+RiskOptima is licensed under the MIT License.
+

riskoptima-1.10.0/pyproject.toml

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+[tool.poetry]
+name = "riskoptima"
+version = "1.10.0"
+description = "The RiskOptima toolkit is a comprehensive Python solution designed to assist investors in evaluating, managing, and optimizing the risk of their investment portfolios. This package implements advanced financial metrics and models to compute key risk indicators, including Value at Risk (VaR), Conditional Value at Risk (CVaR), and volatility assessment"
+authors = ["Jordi Corbilla <jordi.coll.corbilla@gmail.com>"]
+license = "MIT"
+readme = "README.md"
+homepage = "https://github.com/JordiCorbilla/RiskOptima"
+repository = "https://github.com/JordiCorbilla/RiskOptima"
+keywords = ["portfolio", "risk", "optimization", "VaR", "backtesting", "monte-carlo", "machine-learning", "random-forest", "linear-regression", "gradient-boosting", "mean-variance", "black-litterman"]
+
+[tool.poetry.dependencies]
+python = ">=3.12"
+numpy = ">=1.26.4"
+pandas = ">=2.1.4"
+scipy = ">=1.13.1"
+statsmodels = ">=0.14.2"
+yfinance = ">=0.2.51"
+matplotlib = ">=3.8.4"
+scikit-learn = ">=1.5.1"
+xgboost = ">=2.1.3"
+seaborn = ">=0.13.2"
+
+[build-system]
+requires = ["poetry-core"]
+build-backend = "poetry.core.masonry.api"
+
+
+

riskoptima-1.10.0/riskoptima/__init__.py

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+#!/usr/bin/env python3
+# -*- coding: utf-8 -*-
+#----------------------------------------------------------------------------
+# Created By  : Jordi Corbilla
+# Created Date: 2025
+# version ='1.10.0'
+# ---------------------------------------------------------------------------
+
+from .riskoptima import RiskOptima