PyCLA
A Python Package for Portfolio Optimization using the Critical Line Algorithm
Getting started
To use PyCLA, clone the repo and install the required dependencies.
git clone https://github.com/phschiele/PyCLA
Dependency installation using poetry:
poetry install
Dependency installation using pip:
pip install -r requirements.txt
Using PyCLA - An Example
import numpy as np
from pycla import PyCLA
n_sec = 10
# Expected returns and covariance matrix
np.random.seed(1)
mu = np.random.random(n_sec)
random_mat = np.random.rand(n_sec, n_sec)
C = np.dot(random_mat, random_mat.transpose())
# Lower and upper bounds
lb = np.ones(n_sec) * 0.05
ub = np.ones(n_sec) * 0.7
# Equality constraints
A = np.ones((1, n_sec))
b = np.array([1])
# Inequality constraints
first_n = 5 # combined weight of first five assets <= 50%
A_in = np.array([[1]*first_n + [0]*(n_sec-first_n)])
b_in = np.array([0.5])
# Create the PyCLA object and trace the frontier
pycla = PyCLA(mu, C, A, b, A_in, b_in, lb, ub)
pycla.trace_frontier()
4 Sep 5, 2021
652 Jan 3, 2023
3 Jul 28, 2022
39 Jun 10, 2022
87 Dec 31, 2022
37 Oct 21, 2022
1 Jan 6, 2022
3 Feb 13, 2022
0 May 17, 2022
3 Feb 3, 2022
7 Mar 6, 2022
36 Nov 11, 2022
21 Dec 12, 2022
172 Dec 21, 2022
1 Jan 6, 2022
16 Nov 13, 2022
0 Oct 21, 2022
0 Dec 25, 2021
2 Aug 9, 2022