Factor Models Python Packages

factorlasso

Sparse multi-output factor-model estimation with sign constraints, prior-centered shrinkage, data-driven grouped penalties, and consistent factor covariance assembly

augmented-pca

Repository for the AugmentedPCA Python package.

optimalportfolios

Production multi-asset portfolio construction and rolling backtesting in Python

ib-fundamental

Interactive Brokers Fundamental data for humans

mavats

matrix-valued time series methods

portfolio-risk-lab

Portfolio Risk & Rebalancing Lab — Uncertainty-Aware Portfolio Optimization and PM Decision Support

quantfin

A toolkit for asset pricing research