How to use the package?

A small demonstration of how to use the package can be found:

https://colab.research.google.com/drive/1-wyukil-5yji3M3_iwRqz2FK-THGfCP9?usp=sharing

Install package

     !pip install markowitz_portfolio_optimizer

Imports

     import matplotlib.pyplot as plt
     from markowitz_portfolio_optimizer.data_utils import data_loader
     from markowitz_portfolio_optimizer.calc_utils import markowitz_optimizer
     from importlib.resources import files

Load data

    data_path = files("markowitz_portfolio_optimizer.data").joinpath("example_dataset.csv")
    df = data_loader(data_path)

Run optimizer

    res = markowitz_optimizer(df)

Plot efficient horizon

    fig, ax = plt.subplots(figsize=(8, 6))
    res.plot_efficient_horizon(ax)

Plot the optimal portfolio

    fig, ax = plt.subplots(figsize=(8, 6))
    res.plot_optimal_weights(ax)

Extra API

The data_utils.OptimRes class contains the functions for plotting and contains every calculated data from the optimization:

weights: np.ndarray
means: np.ndarray
stds: np.ndarray
sharpe_array: np.ndarray
return_array: np.ndarray
variance_array: np.ndarray

Logging

A log file with INFO level logging is created in the root directory of the project.