Covariance Python Packages

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

batchstats

Efficient batch statistics computation library for Python.

rie-estimator

Package to calculate the RIE estimator of a correlation matrix

statmoments

Fast streaming univariate and bivariate moments and t-statistics

canopy-optimizer

Institutional-grade hierarchical portfolio optimization in Python — HRP, HERC, NCO — with robust covariance estimation, risk measures, walk-forward backtesting, and compliance audit trails.

multinorm

Multivariate Normal Distributions from Python

pyportfoliopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity