Portfolio Construction Python Packages

factorlasso

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

fortitudo-tech

Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

pcrm-book

Portfolio Construction and Risk Management book's Python code.

entropy-pooling

Entropy Pooling in Python with a BSD 3-Clause license.

pymarkowitz

Mean Variance (Markowitz) Portfolio Optimization and Beyond

quantropy

Financial pipeline for the data-driven investor to research, develop and deploy robust strategies. Big Data ingestion, risk factor modeling, stock screening, portfolio optimization, and broker API.

derpy

A financial derivatives and portfolio analysis library for python

pyportfolioanalysis

'Portfolio Analysis, methods for portfolio optimization'