MEVA

Long-short, mean-variance portfolio optimization.

• MEVA
  • Introduction
  • Install
• Introduction to portfolio optimization
  • Objective function
  • Minimum variance
  • Mean–variance
  • General linear-equality constraints
  • Soft constraints
  • Inverse of covariance matrix
  • Numerical optimization
• Optimizers
  • Comparison of aopt and nopt
  • Examples
• Covariance matrix estimation
  • cov_pca (PCA-based)
  • cov_fa (factor-analysis-based)
  • Examples
• Function reference
  • Optimization
  • Risk
• License
  • numpydoc license

Indices and tables

• Index
• Module Index
• Search Page